To be fair, the instructions aren't very well-written... much like the rest of the documentation. There's really nothing to "install" though... you just copy the files to somewhere on your hard drive and make some changes to the environment variables.
The two important directories are bin and include. Copy the contents of bin to somewhere in your path, and copy the include folder to... well, just about anywhere... as long as you remember where it is. The meager instructions suggest putting it in a folder called magickit on the root of C:... so you'd have C:\magickit\include. You will need to add one environment variable; to do that, go to System Properties (on sane Windows systems, you do this by right-clicking on My Computer and going to Properties... but I don't know if that's changed for recent, retarded Windows versions). On the Advanced tab, there's a button at the bottom called "Environment Variables". There are two types: User and System. You can add the information to either section. Just click New and a dialog pops up. For Variable name, enter PCE_INCLUDE. For Variable value, enter c:\magickit\include or whatever folder you put it in. Oh, and while you're here, you can check the value of PATH if you need to... make sure the contents of bin are copied to somewhere in the path, not the folder itself. C:\WINDOWS (or wherever your Windows installation is) is always in the path, you could just put the files there. For your reference, you will really only need huc.exe, pceas.exe, and isollink.exe... you can skip nesasm.exe and pcxtool.exe
