Instructions
Right-click the UT4MOD file and click "Properties."
Click the "General" tab, then click the "Change..." button. This opens an "Open with" menu.
Click the "Browse..." button at the bottom right to open a file browser.
Navigate to your Unreal Tournament 2004 game directory. This is typically "C:\Program Files\Unreal Tournament 2004" or "C:\Program Files (x86)\Unreal Tournament 2004."
Open the "System" folder and double-click the "Setup" icon. This takes you back to the "Open with" dialog with the "Setup.exe" icon displayed. Click the "OK" button at the bottom. This takes you back to the Properties window.
Click "Apply," then "OK" at the bottom of the dialog. The icon for the UT4MOD file now has the UT2004 logo.
Double-click the UT4MOD file to open its setup menu. Click the "Next" button. This takes you to a Destination Folder option. Double-check that the path in this field is the same as your UT2004 directory, and click the "Next" button. This takes you to the "Setup is ready..." screen.
Click the "Install" button to install the UT4MOD file, then click "Finish" on the "Installation Completed" dialog.