Well, xlobby.exe is not an installer. It is the application.
To install xlobby properly you need:
The entire app
and
current upates
Additionally if you want the very latest version that everyone is banging on and getting new features added into, you want:
experimental
You extract the zip files into the folder that you want the application "installed" in, in the order listed. Once they are extracted xlobby is "installed". You can then make a shortcut to xlobby.exe or add into your start menu somewhere. Whatever you want really.
You also need .NET installed for xlobby to work.
Think that covers everything.