No. Something like a "Nemp-Setup.exe" does not exist. If you want to use Nemp, you should download the nemp archive and unzip it into the directory you want.

If you want to use Nemp as your default mp3-player, you can adjust the file settings within the settings dialog, or run the wizard agein.

If you choose "Context menus on directory" Nemp will add "Play in Nemp" and "Enqueue in Nemp" into the Windows Explorer menu on directories.