Since it is a portable application, no formal installation is required. Simply use a tool like 7-Zip to extract the contents to a folder like C:\Emulators\FCEUX\ .

Double-click fceux.exe to launch. On the first run, the emulator will automatically create necessary subfolders for ROMs, cheats, and save states.

Accepts compressed files including ZIP, RAR, and 7z formats. How to Download and Install FCEUX