You follow the instructions in the INSTALL document found in the release.
What’s great about OSS projects is that you can answer questions like this in just such a manner and not worry about it. Closed source, retail products have to play by the “no question is a stupid question rules” or run risk of losing customers.
Of course, in the land of Windows, double-clicking a setup.exe or install.msi is not exactly something that requires an “How do I install this?” FAQ.
Then again, anyone who has worked in customer support knows that this generalization is just that… A generalization. ;) [insert “Sir, is your computer plugged in?” customer support line story here.]