Save it somewhere where you can find it later!
Unzip the privorites.zip folder to a NEW folder. Remember where you put the NEW folder containing the UNZIPPED Privorites files.
If you have never unzipped a file before go to winzip.com for more information.
Run the "setup" from the NEWLY UNZIPPED FOLDER.
NOTE: IT WILL NOT WORK FROM THE FOLDER THAT IS STILL ZIPPED! This is the most common error.
You have to run the setup from the UNZIPPED folder only!

Once you are in setup, you need to press the install button:

Run the Privorites from your Windows "start" button as described here.
Click Here for more info on Privorites.