John the PIE one is self installing.
If the patch your using says *.exe it should self install.. just run it like anything else..
The directions are there where you downloaded it.
For the .dll file from our site yes you put that into the WinMX folder, then do a dns flush
Start> Run ..type 'cmd'
then type in the dos prompt 'ipconfig /flushdns'
then restart winmx