Eclipse is a Java application, compiled to run as an .exe (or bin for us Linux people) -- which also includes it's own JDK. So, all you need to do is extract the zip file to your directory of choice, and run the eclipse exe. It'll start up, set a workspace (a place where all your projects will be saved/stored), and then follow the android SDK setup like normal.
Basically, it has no installer because it doesn't need one with how it's packaged
Oh, and install the latest Java 6 Sun JDK. I believe that's covered in the android SDK tutorial, but that needs to be done for your app to run in the emulator or on the phone.

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