This thread should probably be moved because this is not really a tutorial but....
Its easy because the package you downloaded is configured to connect to OSgrid without any changes.
Just open Bin folder and click on Opensim.exe and follow the prompts.
Just make sure you have all your ducks in a row first, have the following info ready ...
* User Name: (your OSgrid avatar name)[First name] [Last name]
* External Host Name: (go here for this) http://www.myipaddress.com
* Region Name I Want: (dream up a unique name for your region)
* RegionLocation I want: (go here to find a vacancy) http://www.osgrid.org/index.php/opencoordinates
* Port 9000
Watch the console closely as it asks you questions, all other questions can be just Entered as default( hit enter to accept the default) if you like. (Region uuid etc)
Any firewalls must be set to allow Opensim.exe to allow access and act as a server
port 9000 udp and tcp must also be allowed access thru your firewalls
your router must be set to allow port forwarding of port 9000udp and 9000tcp, you may need to google your router model to get specific instructions re this and loopback issues. Some routers have been listed on this forum already see here http://forums.osgrid.org/viewtopic.php?f=8&t=2283&hilit=list+of+routers
(lol google your router