A few very basic notes from the news-post:
1. Installation is basically unpacking the RAR file and clicking .exe. There is some waiting time the first time you load it.
2. Don't forget that this is a pre-alpha tech demo from 2003: the combat is pretty much unimplemented (sucky realtime only), the graphics are really basic. Also, most people will want to change the resolution, which can be done after the first time you run it. See instructions: http://www.nma-fallout.com/article.php?id=35862
3. The file is a whopping 241 MB, but don't be disappointed that it doesn't offer a full night's worth of gameplay (though in true Fallout style, it offers a lot of different paths to victory).
4. Also in true Fallout style, the demo is very, very buggy. Expect frequent crashes.