Download the zip file from this website and unzip it into any folder. Do this on every computer that uses the program.
After you unzip, you should see the following files in your folder:
There is no installation program. To start HotkeyNet, double click HotkeyNet.exe. You can make a shortcut to do this more conveniently.
With Vista and Windows 7, you will probably need to run HotkeyNet as administrator to make it work properly.