Here, its name says it all. KDE Windows Installer is a KDE installer for Windows operating systems Windows 2000, XP, and 2003, with Windows Vista on the way.
All you need to do to get KDE up and running is select the folder where you want it to install its applications. Remember this folder, because you'll need to access it later (bin) in order to run applications in the KDE environment.
Almost all of the original KDE applications are in this version of Windows, although some are still missing. In any case, the best thing that you can do is to open up Konqueror, KDE's web browser, and click on the Applications option. Explore the content of those folders to access different programs organized by category.
If you're still not convinced about using the KDE desktop environment on Windows, check out the applications included in the package on this Wikipedia page.