The installer will install the IMP libraries and their Python interfaces in a directory of your choosing on your Windows machine.
If you want to use the Python interface (e.g. if you want to run any of the example Python scripts) you will need to install Python 2.6 or 2.7 from the Python website (if you installed the 32-bit version of IMP, you'll need the 32-bit version of Python, and likewise for the 64-bit version). Note that IMP does not work with Python 3. One way to use an IMP Python script is to open it in the Python 'IDLE' frontend and hit F5 to run it.