There are two methods for manual installation:

Installing into Blender's default scripts folder (Windows XP)

Copy the exporter zip file from it's download location into your Blender scripts folder:
Right-click on the zip file and select "Extract All". The zip file extraction wizard should appear:
Click the "Next >" Button.
Make sure that the extraction folder is correct. The files should be extracted into the base scripts folder. If you installed Blender into the default location, your extraction folder should be something like "C:\Program Files\blender-2.45-windows\.blender\scripts\". If the extraction path includes the name of the .zip file on the end, remove it:
When you are sure that the extraction folder is correct, click the "Next >" button. If you are prompted to overwrite files, select "Yes to all".
Quit and Restart Blender.
Check the File->Export menu for the exporter scripts.

Installing into a user defined scripts folder (Windows XP)

Unpack the contents of the exporter zip file into a folder of your choice. Be sure that the folder structure in the zip file is preserved, and remember where you unpacked it.
Open Blender, and locate the "User Preferences" window header at the very top of the Blender screen. It's the one with the "File", "Add", etc. menus; and has an icon that looks like a lowercase "i".
Move the mouse cursor over the bottom of the window header:
Pull the header down to reveal the rest of the "User Preferences Window". The "User Scripts" folder option labeled "Python:" is highlighted in red:
Enter the path to the folder where you unpacked the exporter zip file in step 1, or use the "Browse" button to locate the folder:
Drag the "User Preferences" header back to the top of the Blender window:
From the "File" Menu, choose "Save Default Settings":
Quit and Restart Blender.
Check the File->Export menu for the exporter scripts: