You plug in your GP32 to a USB port and switch it on. This causes windows to ask for the drivers. Just point the driver installation to the folder where you unzip the drivers (best to copy them into a folder on your desktop temporarily) and it will install ok. To check if it's installed properly, go to device manager (right click 'my computer', select properties, click device manager tab (on win 98+me) or Hardware (then device manager button on 2000/XP). Look in USB controllers for 'GP32 USB device' (or something). If this doesnt have a yellow '!' next to it, you're ok.
Then try the link again (make sure your GP32 is in link mode).