The kit contains a precompiled STM4 version. If you need to recompile STM4 (eg. to add your modules) follow the instructions at the end of this page.
Look at the download page for the kit location.
The STM4 modules are under the STM4 library. Prepackaged applications are under "Full Apps" sublibrary.
Unpack the STM4 kit using, for example, WinZip. The resulting directory will be named CSCSlib. Don't unpack under <xp_dir>! If you unpack it under C:\ skip the following two steps.
Start the X server (under Applications/Utilities). The server should be started every time you use AVS/Express or STM4.
from inside the <xp_dir> directory.
If you have NVIDIA graphic card, and want to recompile STM4, install also the nvidia_patch.tar.gz patch from the AVS ftp site.