There are different ways to get Smalltalk installed on your machine.
Pharo by default provides a one click image (30MB) which is useful if you want to work with different platforms. It's a simple ZIP file.
I additionally prepared a Windows installer which is only 10MB and more aligned with what a Windows user expects. You can try Pharo 1.0 with it here.
Meanwhile Ian has picked up my script for Squeak and it is nice to see one can also easily install Squeak 4.1. with it now too.