From Adventure Game Studio | Wiki
A step-by-step guide follows:
- Download AGS. The latest stable release is always available from the AGS Download site, and beta releases can be found at the top of the editor development forum
- Extract the zip file you downloaded to whichever folder you want. WinZip is the most popular zip extractor for Windows, but there are also others. Windows XP and higher can extract zip files, and 7zip is a powerful (and better)freeware alternative for WinZip without a welcome screen asking you to register.
- Double-click on AGSEditor.exe
- Make your game!
Betas and Release Candidates from the technical forum don't usually come with all the files necessary to run, just the changed ones. Therefore, you should download the last stable release before you download a beta.