Once you have downloaded SmartFTP (approx. 3.2 meg) you simply need to double click on the icon,

It will look like this:

The default file name for it will probably be something like 'SFTPMSI' but this may vary as the program updates, so take note what it is called before you download, it will make it easier for you.

The installation is really quick and straight forward.

All you have to do is to agree to the licence terms and then choose a destination or leave the default destination which will probably be: C:\Program Files\SmartFTP Client 2.0 Setup Files.

Then click 'install'