On Windows, run FreeMind.exe; you'll probably want to create a folder called freemind in "c:\Program Files\" and copy the contents of unpacked directory there. If you want, create shortcut of FreeMind.exe on your desktop.
On Unix, run freemind.sh.
On both Windows and Mac OS X, you can also simply double click the file freemind.jar located at the folder lib
to execute the program.