If you have an older, slower system or use a dialup modem, then you might want to download the 5.5MB lores version of Celestia instead of the 11MB medres version. The only difference is in the size of the images used for the surfaces of the planets and moons. The lores images will be somewhat blurrier.
Download the .EXE file of the installer for the version of Celestia that you want. Then run it. That starts the installation program. The installation software will let you put Celestia anywhere you want. It's usually a bad idea to put it in the same directory where you have a previous verison of Celestia. I change the directory name so it has the version of Celestia at the end: e.g. Celestia130
After it has created the directories and copied the program files, the installation script asks you to chose a few more options. Be sure to select "desktop icon", "associate URLs" and "associate .CEL scripts." (I might have the names slightly wrong. This is from memory.)
Note that whenever you run a Celestia installation program, it will change the icon, URL and CEL associations to point to the location of the new program. If it's in a different folder, you can still run the old program by going to its folder and clicking directly on its icon. You also can use the right-mouse-button to drag a shortcut of the old icon to your desktop if you want.
If you don't tell me that something's missing, unclear or wrong, I can't improve it.