To install Midi2Mtx, just double-click on Midi2Mtx-Installer.exe.
On some systems (Windows 95, and perhaps Windows 98 also), 
a window may pop up saying "System Error, The file you are trying 
to open is already in use by another program. Quit the other program,
and then try agian." In that case, just click on the 'Cancel' button to 
close the pop-up window, and everything will proceed as it should.

Similar thing may happen when you un-install the program.
