Get a copy of the software (I know, you already have...).
Uncompress the kit to put the components into place. Create the TZ environment variable. Verify adequate DOS environment space.
Basic server configuration. Can be skipped for initial testing if you followed the directions so far.
Start the server and perform initial tests. Information about command line options is contained in this document.
Before you run off to play with your new toy, please read this guide to referencing files on your server. Particularly, if you are wondering how to set up your server's "home page", instructions are in there.