When you acquire MD Link, you will typically receive it in the form of a self-contained executable installer file.
This installer contains everything that MD Link needs to install and run. The installer is a graphical wizard-style program that will present you with several options about how MD Link should be installed. The default answers will suffice for most use cases.
As the installer mentions on the last screen: if you wish to set up the MD Link Server as a Windows service, this requires additional installation steps, to be performed outside of the installer. Click here for instructions on this.