Please check the installer package against the MD5SUM file to make sure it has not been tampered with. (One way to do this is to download the digestIT software, right click on the IMP installer package, select "digestIT 2004", then "Verify MD5 Hash" and paste in the line for the IMP .exe file from the MD5SUM file.)
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.