The easiest way to install SABnzbd on a Windows system is to use the binary distribution (available here on SourceForge).
The package is a installer, so run it and answer the questions.
You do not need to be an administrator1 to install SABnzbd (if you install it in your own folder, for "c:\program files" you need to be admin).
Once you have installed it, double-click the desktop icon (or look up SABnzbd in the Start Menu) and SABnzbd will start. Normally, nothing will happen for about 2-10 seconds and then the web-browser will pop up and show you the web interface of SABnzbd.
The first thing you have to do is fill in the settings for the Usenet server where SABnzbd can download from. Look through the configuration screens and click on the HELP button of you need more explanation. The Help button will take you to the appropriate help page in this Wiki.
You can use the Add buttons on the main screen to add jobs, based on NZB files already on your disk, URL pointing to an NZB on the Web or newzbin.com report numbers.
For more convenience you specify a so-called "Watched Folder" (see Config-->Folders).
Every NZB file you put there will be picked op by SABnzbd as a job.
For general Firewall information, see How do I survive my Firewall and Virus scanner?
When you start SABnzbd, chances are that your software firewall2 will trigger.
The adventurous or development-oriented can try to run from Python Sources.
There's a brief guide available.