Download it, extract to your EU directory
/program files/paradox entertainment/Europa Universalis by default iirc
Overwrite all files
After that, go to your EU directory and run patch.exe
Now you should have IGC installed
If you want to change some options (playable countries and stuff), run icgconfig.exe and change what you want
After that just laucnh the game and select Improved Grand Campaign as scenario.
Hope it helps.