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It is not a program you can run.
It has to be extracted to your HOI folder, either using the built in extractor in WInXP or a program like WinZip.
 
Are you sure you extracted it to the correct folder, you only have one install of the game right?

Were you asked if it was okay to overwrite any files when you extracted it?
 
Glad you got it to work.
It will work even if you save it in that folder it is just a little less obvious that you must enter the correct path, since it looks like the correct path is already there, what you have to do is delete the last part of the path so it is just pointing to the main HOI folder and not HOI/Patch106B or what ever.