Installing 3DelightNSI consist of downloading the package (available here) and running the installer. Once this is done, the plugin is automatically loaded in Cinema 4D, and the plugin files are into the %Delight%/cinema4d directory.
Once 3Delight for Cinema 4D in loaded in Cinema 4D, you can use 3Delight menu to add 3Delight Menu and Shelf into Cinema 4D. That will make it easier to render using 3Delight or to create materials and lights. The free 3DelightNSI does not require a licence file, but if you are running the paid version and you have no license file installed, you will have a watermark in the image when you render. Installing a license file is explained in Configuration.