Hi karlos, to install the script, you copy the import_moi.py file into Blender's script folder, which by default will be here I think:
C:\Program Files\Blender Foundation\Blender\.blender\scripts

Once that import_moi.py file is in Blender's script folder, the next time you start it up it will have a new entry on its File > Import menu that says "MoI with Normals (.lwo)".

Note that this is for Blender version 2.49 only, the script will not work on the newer Blender 2.5 versions.

- Michael