First go the download page
http://www.jes-soft.com/baseball/download.html

Click on a download link, this will open a new window with a number of places to download the program (*.exe) from.
Sometimes you have to right click on the link to be able to save the file.

Go to the folder where you saved the program and start the setup_baseball_playbook*.exe program.

From here you should follow the points on the screen.