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Download, and then unpack it to where you keep CK on your HD. It should be a pretty painless process. You need winrar to unpack the files (it's a free download easily found via google).
Downloading a program that can open .rar files is indeed the first step. Winrar is a solid one, I think it can be found from www.download.com. The default settings should be mostly ok, just remember to choose the directory you have Crusader Kings at. From the box that might appear asking if it´s ok to overwrite files choose yes to all.