Installing Eclipse on Windows
The first step is to get Eclipse: download Eclipse. Choose the "Eclipse IDE for Java Developers" link.
After that it's simple. You unzip the archive (.zip file) you get from the link above, and you move the resulting folder to any desired location on your hard disk. The Eclipse package has no installer. Perhaps the most logical place for the folder would be in C:\Program Files\, but that is entirely up to you. The application itself is launched by executing (i.e. double-click) the eclipse.exe executable inside the eclipse folder you extracted.
For convenience you probably want a shortcut on your desktop, etc. This is easy enough to do. One cheap-trick way to go about it is to navigate to the eclipse folder, right-click on the eclipse.exe executable, and choose Copy. Navigate to the location you want to have a shortcut (e.g. your desktop, start menu, quick launch toolbar folder, etc.) and right-click on the folder background, this time choosing Paste shortcut. You can then rename the shortcut as you like; the default name will be a rather ugly "Shortcut to eclipse.exe" or something like that.