Don't download any nightly, milestone, beta or alpha ones. They're unstable.
For stable version, download 5.0.28 or 5.5.4. You're given the option to install using exe or zip. The 5.XXX.exe has an installation program which will guide you through in setting up the Tomcat. As for 5.XXX.zip, unzip the file and follow the basic instructions on how to setup the Tomcat in Running.txt under that directory.