The following software must be installed separately, it is not included with the Saxon download.
To run Saxon you need to install the .NET platform, version 2.0.
It has been reported that Saxon runs without problems on .NET version 3.5, but this platform has not been extensively tested.
Because Saxon is run from the command line, you might find it useful (under Microsoft Windows) to have a text editor with better command-line support than the standard DOS window. I use UltraEdit.