To install AutoTroll just unzip it into a new directory like c:\AT. You can run AT from the commandline or add a shortcut to your desktop. See command line arguments for more on this.
Previous versions of AutoTroll put icons and folders under the start menu, I've elected not to do that any longer.
Upgrading
AutoTroll's database info is stored in the *.dat files in AT's root directory. Copy these out before unzipping the new version. Also, don't forget to copy any *.atf files in your web templates, at templates, email templates directories.