To install WTL, just copy the whole directory structure, or unpack the archive file, to the location of your choice. Please be sure to add the WTL\include directory to the list of include directories in VC++, so that the compiler can find them when you include them in your projects..
Setup programs for the AppWizard are provided. After executing the setup scripts, ATL/WTL AppWizard will appear in the list of AppWizards when you select File.New.Project in VC++ IDE. The file AppWiz\setup70.js is the setup script for VC++ .NET 2002, AppWiz\setup71.js is for VC++ .NET 2003, and AppWiz\setup80.js is for VC++ 2005. AppWizCE\setup80.js is setup script for VC++ 2005 SmartDevice projects.
To manually install AppWizard for VC++ .NET 2002/2003, copy all WTLAppWiz.* files from AppWiz\Files to VC++ .NET projects directory, %VC7DIR%\Vc7\vcprojects, where %VC7DIR% is the directory where VC++ .NET 2002/2003 is installed. After that, open WTLAppWiz.vsz and modify the like that contains ABSOLUTE_PATH to contain %WTLDIR%\AppWiz\Files, where %WTLDIR% is the directory where WTL files are.