Setting up winboard is very easy. Please donload the winboard setup from here.
Please unpack the files FelpoEngine.Exe,ChEngine.dll, FelpoBook.txt from the release in a path in your HD.
Browse in Start / Winboard 4.x.x /Chess Engine and open the folder.
Duplicate one of the link, and change the path to :

C:\<program folder>\WinBoard-4.2.7\winboard.exe -cp -fcp <path of engine>\felpoengine.exe -fd <path of engine> -scp <path of engine>\felpoengine.exe -sd <path of engine>

After this you can play vs felpoengine by selecting the link you modified.
Please read the winboard documentation to find an explanation an what the command line flags means.