Close all programs you have running. This helps to prevent possible conflicts
Click the exe file and read what it says....READ EVERYTHING. There are a lot of programs out there that come bundled with things you'd rather not have on your computer (such as spyware). Don't just go merrily along clicking "next".
Normally, You'll have to choose a directory, decide if you want a desktop or quick launch icon (or both), then restart your computer. Keep track of what you have installed and when. Then if you have problems, you'll know what program to uninstall.
IF YOU DELETE PROGRAMS RATHER THAN UNINSTALLING THEM YOU CAN CAUSE SERIOUS PROBLEMS FOR YOUR COMPUTER!!!!!!
Programs often have files they share with other programs, or even windows. If you just decide to delete a program you also delete dll files with that folder, and those dll files could be used by another program. Uninstall allows the files to be copied, and saved if a shared file.