Download the exe, extract to desktop...I'm told to run the installer but there is none. There is a HRP rar in the folder but extracting that shows no installer either. If I run eduke it works fine. I'm missing something obvious here but what? http://hrp.duke4.net/download.php
My version is a little old now but what I had to do was put the HRP zip file into the relevant autoload folder. E.g.
Though as I say, mine isn't up to date and as such it was split into three parts. The basic HRP, some updates to it and the associated maphacks (minor edits to maps to compensate for the 3D models and such so that the levels all fit together correctly and look okay).
EDIT: Looking at the site, my files would appear to be the individual zip files. You might be better off just getting the full standalone 7-zip self extractor that has the lot in it.