Download the latest release of XBMC here and run the install program.
Click on Next
Click on I Agree for the License Agreement
Leave these options as default and select Next. It is possible to remove all the unwanted options here such as unused languages and skins but you are saving very little disk space.
Leave the destination folder as default unless you have a good reason to change it and the select Next to continue
The option you choose here will depend on your setup and how you use the PC that XBMC resides upon. Selecting the top option to store everything in the users profile (Default Mode) will mean that if this is not a dedicated PC for XBMC and it is used by more than one person e.g. has more than one user account, each one of those accounts will have to set up their own movie, music and photo folders, customisations, etc. If you don't want the hassle of setting it up for more than one user, consider using a dedicated account for XBMC. If this is a dedicated PC for XBMC, then this option is fine.
Choosing the Portable mode and installing everything in the installation directory (c:\Program files\XBMC) will allow any user on the machine to have the same settings and have the same multimedia. As it states, XBMC will need need to start with administration rights (this will depend on how you have setup you user accounts) or potentially you can change the permissions on the directory to allow write access to everyone for the installation folder.
Click on Next to continue
Leave this as default unless you have a specific Start Menu folder structure that you wish to abide by. Click Install to continue.
Check the Run XBMC Media Center box and click Finish
XBMC will now start and from from here you can configure your multimedia source and customise your settings.