Xalan-Java Windows installation

I am migrating a set of stylesheets from a Microsoft to a Java environment.
The stylesheets were originally written for the MSXML4 parser, but now they
are going to use Xalan-Java.
 
I'd like to install Xalan-Java for Windows on my desktop so that I can view
transformations locally. So far I have downloaded the current Xalan-Java
binary (xalan-j-current-bin.zip) as well as the Java 2 SDK
(j2sdk-1_4_2_08-windows-i586-p.exe). I'm not sure what to do next.
 
I'm not an XSL newbie but I am new to Java.
 
Maria