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 32-bit Python 2.4, 2.5, 2.6, or 2.7 from the Python website. Note that IMP does not work with Python 3 or 64-bit Python. One way to use an IMP Python script is to open it in the Python 'IDLE' frontend and hit F5 to run it.