For the most part, you shouldn’t need to install it at all. Every version of Windows and DirectX since 1995 ships with the Cinepak codec. If you already have Cinepak installed this is what to do.
You can update to our version just by copying ICCVID.DLL over the top of the copy you already have (in Win 9X, \windows\system; in Win NT/2K/XP, \winnt\system32).
If you do not already have Cinepak installed, then you did not choose to install the multimedia/video components when you installed Windows. In that case, the codec is not enough; you are missing a number of other files you need in order to view videos.