Bring on the good stuff
To install the ExperienceUI, unzip the downloaded file, compile experienceui-setup.nsi, and run the resulting installer (which should be experienceui-1.3.2.exe). It should compile on a default NSIS installation; if it doesn't, please report your issue in the forums.
The docs are a disaster right now. Yes they're accurate, but they don't cover everything (especially newer stuff like XPUI_BGIMAGE). And there are (le gasp!) Internet Explorer compatibility problems. The examples are probably your best bet for getting started.
By the way, the installer doesn't create any shortcuts for the documentation right now. To access them, use mshta to open Docs\ExperienceUI\open_popup.hta.
There are old binary installers available from our SourceForge.net project page.