Just burn installation file from gog.com on CD or DVD. If You don't have proper program You can use for example BurnAware Free: http://www.burnaware.com
Thanks! I thought it would be more complicated than that.
Edit: I tried to mark this question solved, but I can't seem to do it. Is that because the original posting is so long ago? -- I hovered and clicked all over the solving message and couldn't get any resolved note.