Extract the downloaded file eclipse-SDK-3.1.1-win32.zip to a folder.This folder will the Eclipse installation folder. There is not extracting files are running setup with Eclipse. I prefer to extract it directly under the root folder.
This isn't absolutely necessary, but I like to have a shortcut on my desktop. Create a shortcut on the desktop by selecting the eclipse.exe file with your mouse and pressing the ALT key and drag the file to your desktop.