To install PHost, just unpack the distribution archive into a directory of your choice. That directory will be the root directory for that version of PHost. PHost 4 distributions contain subdirectories; these subdirectories contain the sample configuration files. If you are using pkunzip to extract the distribution, be sure to use the -d option to restore the directory structure.
On all platforms, PHost comes as a readily-linked program executable (phost.exe, phost). The individual distributions contain additional information in a README file, if necessary.