adding a program

ok i am completly a none windows person. i have programs i want to add to windows xp. Where do i tell the program to go? Mac just does it for me, or says drag this to the applications folder. The one program needs to be extracted and wants a Path? Where is the best place to put it. (it is a large folder) and how do i get to use it? do i need to memorize the path for each program? I would never do this but my wife needs this knitting program that only runs in windows. Any help is welcome and please be patient with me