This is how to install PLEX Media Center on Windows Systems, first goto the following url:
http://www.plexapp.com/download/plex-media-center.php and click on blue download button indicated below.
Now save the file to your computer & when finished downloading run the program. You should see the following.
Click on I Agree to proceed.
Accept the default install type and click Next.
Accept default install directory & click Next.
Accept default Start menu name & click Install to continue.
Wait a little while for Install to complete.
When install is finished make sure "Run Plex Media Center" is selected & click Finish.
If all went well you should now see the PLEX Media Center as below.
Thats it you have now installed PLEX Media Center.