Do you have the CD that came with the device? You can install Desktop Manager from the CD, or you can download the installer from RIM or your carrier's site.

I installed it from the CD. When you insert the cd, it should start automatically and prompt you to choose what you want to install. Choose Desktop Manager and follow the prompts to install it to the default location, which is C:\Program Files\Research In Motion\BlackBerry

If you download it from the web, save the file to your desktop, and double click to start the installation. Follow the prompts and let it install in the default location.