The program comes in different installation versions.
Complete or Setup version
These versions are .exe files which let you install the program step-by-step. The 'complete' version contains all files you will need when you run the program. Many of these files you will already have if your system is up-to-date. In that case you could also use the smaller 'setup' version.
The other version is a zip file, which you may want to use if you for some reason cannot install the program with the setup version. Extract the files from the zip file to a (preferably empty) folder. Make sure you preserve the directory structure. You should also not forget to put a shortcut to the program in your Windows startup folder. (The setup version sets the program to run at start-up automatically.) To get the plug-ins working, you should register them with Windows. This can be done by clicking the appropriate button in the 'advanced' tab in the settings window.
Also see uninstallation.