LimboMedia is build with Java, so you need an up-to-date Java Runtime Environment. Version 1.8+ (Java 8) required.
Visit http://java.com/ and get the latest installer!
Simple as hell: Download --> Unzip --> Run --> Done!
Download the latest and greatest file and unzip with your favorite tool.
Navigate to the unzipped directory and click limbomedia.exe to start LimboMedia server.