Bunzilla can be installed just like any other application. Simply run setup.exe and allow the installation wizzard to take you thru the process. Please note this program requires the microsoft .net 2 framework to function. The installation program will attempt to install the framework if it is not already present.
Bunzilla by default uses tcp and udp port 30031. If you have a firewall or other security software, you will need to open up these ports, use the configure option to alter bunzilla to use a different port that you already have open (such as port 80 - http), or add Bunzilla to the list of applications your firewall will allow to access the internet.