Megathread v4.1 | Respawned coming soon!
First, open your Explorer, and find the folder your downloaded the files to.
Next, click on the file, then click "Extract all." If you have no such option, you can also use an export program of your choosing, such as 7Zip or WinRAR, which is what I use in my example.
Go into the new folder it created.
In here, you'll find two executable (.exe) files. Double click on the one called "setup_minecraft_story_mode_2018-02-22_(18805).exe" This will install episodes 1-5.
Once the installer appears, click "Ok." Then, accept the Terms and Conditions at the bottom, and click "Install."
After the installer is finished, don't click "Launch!" We need to exit, because we still need to install the DLC episodes.
Once you're back here, run the second executable, "setup_minecraft_story_mode_-_adventure_pass_2018-02-22_(18805).exe" This will install the remaining episodes, 6-8.
Repeat the same steps in the Adventure Pass installer.
Once it finishes, you're done! Click "Launch" and enjoy :)