The Tor browser does this because it is portable software and doesn't integrate into a Windows system the way typical programs do. This means you can run the Tor browser from almost anywhere--the Desktop, your documents folder, or even a USB drive.
When you arrive at the Choose install location window Click Browse... and then choose where you'd like to install the browser. As you can see in the image above, I installed it to a USB drive that I tote around on my key chain.
Once you've got your location selected, just press Install and Tor takes care of the rest.
Using the Tor Browser
Once the browser is installed, you'll have a plain old folder called Tor Browser. Open that and inside you'll see "Start Tor Browser.exe". Click that file and a new window opens asking whether you'd like to connect directly to the Tor network or if you need to configure proxy settings first.
For most people, choosing the direct option is best, so choose Connect. A few seconds later a version of Firefox will launch and you are now connected to the Tor network and able to browser in relative anonymity.
To make sure you're connected to Tor go to whatismyip.com, which will automatically detect your location based on your Internet Protocol address. If your browser shows you coming from a location that is not your own, you are good to go. Just make sure you do all your anonymous browsing from the Tor Browser itself as other programs on your system are not connected to Tor.
But browsing anonymously on Tor isn't quite as easy as booting up a program. There are also some rules of the road you should observe, such as connecting to every site possible via SSL/TSL encryption (HTTPS). If you don't, then anything you do online can be observed by the person running your exit node. The browser has the Electronic Frontier Foundation's HTTPS Everywhere add-on installed by default, which should cover your SSL/TSL needs most of the time.
The Tor Project has more tips on browsing anonymously.
Also, remember that browsing in anonymity does not make you immune to viruses and other malware. If you are going to the seedier parts of the Internet, Tor cannot protect you from malicious software that could be used to reveal your location.
For the average Internet user, however, the Tor Browser should be enough to stay private online.
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