Double click the file...follow the instructions (normally the next button)
I am not sure what you are having trouble with as it is normally easy.
You double click the file, browse to a folder you want to open it up to then click the unzip, next or ok buttons (depending on which zip utility you are using).
Then after it is unzipped you goto the folder you unzipped it in.
Double click on the setup icon, run the program and load it into the photoshop plugin filter (if it does not find it automatically).