Extract
emacs-23.3+auctex-11.86-w32.zip
either to your hard drive or USB stick. You'll get a directory
named emacs-23.3-11.86.
If you install Emacs on a hard drive,
execute emacs-23.3-11.86\bin\addpm.exe
in order to create a shortcut in the program menu.
On a USB stick you have to
execute emacs-23.3-11.86\bin\runemacs.exe
directly.