Extract the zip package to somewhere, open up the extracted folder and from there open the 'bin' folder. Then run minetest.exe. You also might want to create a shortcut on your desktop from the right click menu.
When the game opens up, you end up in a main menu. You can do several things here: play locally, connect to a server, or change settings.
To play locally, just enter some username and hit 'Start Game / Connect'.
In this mode, the minetest.conf server configuration takes effect, because you are technically running your own server.
To connect to a server, enter a username, some password and the server address (and change the port if server uses a different one), and hit 'Start Game / Connect'.
If the username is new on that server, the server will create a new player for you. Using a password is recommended to disallow other people from messing up your player.
In this mode, the 'SERVER' settings at the bottom of the menu are ignored (the server you connect to has its own settings.)
Here is a good youtube series about playing Minecraft: http://www.youtube.com/watch?v=4bh4EexJO4I
Minetest has the same basic principles, with these main differences as of now, so you know what to expect currently: