Super Simple, just unzip this file and preserve the directory structure.
Then navigate into the main hercules directory(the one with all the exes and stuff) and launch hercules.exe
If you run into any issuies, open the hercules.cnf file and update all the paths you see to hardcoded paths.

Example:

0A81 3390 cckd\zares1.cckd sf=shadow\zares1_* 
This will need to look like this:
0A81 3390 D:\IBM_ZOS_1_10 Herc\ibm\Hercules 3.07 (64 Bit)\cckd\zares1.cckd sf=D:\IBM_ZOS_1_10 Herc\ibm\Hercules 3.07 (64 Bit)\shadow\zares1_*

Just replace the path with whatever path structure you end up with when you put it on your computer.

And yes you need to update all the paths you see.