In order to install GUI Octave, download the main setup file and double-click on it. User without Administrator rights cannot install software. To resolve this behavior, log on to Windows as an Administrator or as a user with administrator privileges. You can also install the program by having someone with administrator privileges install the program with the run as command.
The setup files require Windows Installer: if you get an error while installing GUI Octave, go to http://windowsupdate.microsoft.com and install the latest version of the Windows Installer.