To install GIMP properly, first download both the GTK+ 2 for Windows runtime environment and The Gimp for Windows 2.x. Also, I would recommend downloading the latest GIMP Help 2 package. All can be found at http://gimp-win.sourceforge.net/stable.html
Once downloaded, first install the GTK+ 2 runtime environment, then install GIMP for Windows and finally the GIMP Help 2 package. When installing GIMP, you will be asked to enter various settings (such as the "Tile Cache Size"). I would recommend just saying Yes/Continue to default values provided unless you have an important reason to do otherwise.
This tutorial was created in December 2004 using the 2.2.0 Stable version of GIMP for Windows found at Sourceforge.net. It should also work fairly well for any version of GIMP in the 2.x series on any operating system.
CHECK YOUR UNDERSTANDING:
Run GIMP a few times. See that the program does start faster once it has identified all the plugins available. Browse your hard drive and open some different types of graphics in GIMP.