Go to http://www.eclipse.org/downloads/, then click on the link that says Eclipse IDE for Java EE Developers (189 MB), then download it and save it to your hard drive. The file is named eclipse-jee-galileo-SR1-win32.zip.
Extract eclipse-jee-galileo-SR1-win32.zip anywhere on your computer. I have extracted it to C:\Program Files (it will make a new directory called eclipse, so it will end up being located in C:\Program Files\eclipse.
NOTE: Eclipse does not need to be installed, all you have to do is extract it. You can create a desktop shortcut to the eclipse.exe file to make it easier to access later.
TO RUN ECLIPSE: double click on eclipse.exe, then click the Run button. Then browse to a folder where you want to store your eclipse projects (otherwise known as your workspace). I have used C:\Documents and Settings\Administrator\My Documents\Eclipse. Then click the OK button and eclipse will start up.