Take a look at the readme file included in the zipped folder that has the nORMa CTP and other required files (actually, it's best to explicitly decompress all the files in the folder before going on).
First, you'll need a copy of VS 2005 or VS 2008, and the edition level must be Standard or Above - doesn't currently work with Express Editions.
You may have everything loaded up correctly, but I can't see from here. The first part of the README covers installation; if you followed that, you should have the CTP installed.
Assuming it's installed, you start by creating a new Solution/Project in VS (use the vanilla Windows Form App template), but name it whatever you like. You can ignore the WinForm that comes up in a tab (or just close it).
In the Solution Explorer Window/Tab select (Whatever you named it), and use the RT Click context menu to "Add new item."
In what comes up, you'll see two ORM item templates, choose ORM file. Once you do that (and name it as you like), the nORMa designer will open up for you.
If you get that far, you've done the install, and should look at the tutorial PowerPoints Ken mentioned. If you don't get to the see the designer, you'll need to take another look at the install README.