Install on Windows
Double-click on the .exe file
Click "More info", and "Run anyway"
Note that I have not purchased any code signing keys yet (about $80/year), so you will be prompted with a warning when installing as for now.
After launch, you will get an alert that the Firewall has blocked some features. If you don't allow access, then you can't connect to the application remotely. This includes the stage display, and remote controllers.
Application data path
For advanced users