Installation

First up I'm assuming you have a working TEX version already installed on your harddisk. Unless that is the case there's little use in installing dvilj on your computer.
Simply copy the executable dvilj into your !TeX.bin directory. Furthermore dvilj needs the system variable TexFonts$Path to be set up and pointing to those directories that contain the .mf, .tfm and .pk or .pxl files. dvilj itself only needs .tfm and .pk or .pxl files but in case some of the bitmap fonts are missing⁴ you'll have to create them using ${\mf METAFONT}$ and dvilj will attempt to help you with that for which it needs to find the .mf files as well (see section $[*]$ ).
The newer TEX releases have TexFonts$Path set up correctly by default, in case you've got an older release I'm afraid you'll have to fiddle with it a bit. Make sure you read section $[*]$ .