In order to use the functions of the HC Toolkits, the packages must be in the Mathematica package path, which is different than the operating system path. You can either put the packages somewhere in the path, or modify the path to include the packages. I prefer the former, since that requires the least work. Unfortunately, the package path setup is different for different formats.
Once the location is decided (see below), you just uncompress the packages, and are ready to go. Directions for use are found in the section Toolkit In Action.
There are two places that seem to work. Assuming that you installed Mathematica at "C:\Program Files\Mathematica" (Note that the default is deeper than that; you should be able to figure out how to modify the above to work), the packages should be put at
Alternatively (at least on Windows NT, and if you're not using NT, in general, you probably should be), the following path works for me:
Note that the "4.0" should be your version number.
There are two places here that also seem to work, depending on whether you want the packages for your own consumption, or want them available to other users on the same machine. For your own consumption, just put the files at:
Note that the "3.0" should be your correct version number.
For general consumption, the packages need to be at