This is the auto-installer package you should download if you use a Windows operating system. It should work fine with all versions of Windows, from Windows 95 to Windows XP.
The default auto-installer is bundled with openssl (a library for cryptography that is used mainly for secure http connections). The authors will be happy to move from openssl to gnutls for technical and licensing reasons. If you want to help the transition download and test the gnutls-auto-installer.
Simply doubleclick on the setup file you have downloaded and answer yes to all the questions without reading ;)