FeynCalc

In this case there is no problem. You have to have Mathematica installed in your Windows OS. Then you go to the FeynCalc site and download the zip file that is compatible with your Mathematica version. Next you extract those files and place the folder HighEnergyPhysics in the subdirectory AddOns/Applications of the Mathematica tree. Then you have to set the working directory to the place where you have the programs and where you want the output to be generated.

The command is SetDirectory[“path”]. That is all.

Note added November 2013:
With new versions of Mathematica there are some problems of shadowing when loading the FeynCalc, for example:

Loop::shdw: Symbol Loop appears in multiple contexts {FeynArts`,HighEnergyPhysics`FeynCalc`Loop`}; definitions in context FeynArts` may shadow or be shadowed by other definitions. >>

In this case, reinstall fc820.zip (i.e., follow the instructions in the section Mathematica installer from the website http://www.feyncalc.org/download/) and then write (in the same Mathematica notebook used to install fc820):

$LoadPhi=True;
Needs["HighEnergyPhysics`Feyncalc`"];

The problem is solved, with no need to follow these instructions every time FeynCalc is loaded. I thank Duarte Fontes for bringing this to my attention.

Note added May 2014:
For convenience you can find here a zip of all the programs needed to run Examples.nb.