1) Download and run the installation file. (You can download it here if you don't already have it.)
2) Follow the prompts to set it up - the defaults are fine.
3) Locate the Spacejock Software entry in your start menu, then click the yWriter5 icon.
4) If you get a Windows error message about a missing framework (Windows XP or earlier), visit this page for the dotnet 2.0 runtime. Windows Vista and later already include this.