If you purchased FotoFinish on a CD, all you have to do is insert the CD into your CD-ROM drive. The setup program should launch automatically. If it does not, you will have to run the setup program manually.
The easiest way to do this is to use the Run command under the Windows Start menu. In the Run dialog, just type D:\Setup (replace D: with drive letter of your own CD-ROM drive) and follow the instructions.