After downloading the file tsmm_cli.exe, just run it. It will selfextract and the install program will be launched.
You will have an entry in your start menu where you can start the program.
The first time you start, you will be prompted for the name or TCP/IP address of the server where you installed the collector part.
After that, just define your TSM servers and you are up and running.
If you wish to have E-mail notifications sent to you, enter the 'configuration', 'e-mail notification' part and enter the required information.