Extract files from the downloaded file.
Create a new folder (game directory) to store game data, on anywhere you want.
Mount a game disc.
Copy required files in the disc to the game directory. If you have no idea what are required, just copy everything within.
Drag and drop the game directory to Nekoze. The game will start.
The game icon is created for the first time. Double clicking this icon will also start the game.
Move the icon to where you like.
That's all.