Kali Linux is an operating system, so it can't be installed directly onto the windows platform like an application. You (basically) have 2 options:
- Install Kali Linux on a separate disk partition of your hard drive (or on a secondary hard drive, or on a usb stick, or external hard drive) and boot into Kali when you want to use it, and windows the rest of the time.
Here's the official walkthrough on this method from the Offensive Security folks: http://docs.kali.org/installation/dual-boot-kali-with-windows
- Install Kali Linux using virtualization, for example, using VirtualBox
To this you would need to first install virtual box: http://www.wikihow.com/Install-VirtualBox
and then create a Kali Linux virtual machine: http://www.osboxes.org/kali-linux/
Sorry for all the links, but its kind of an involved process, and it seemed asinine to rewrite everything.
Now, one final note. Be careful if you decide to go the dual-boot route, because many an individual has accidentally wiped their primary OS on accident when trying to install something side-by-side. I would recommend installing it on an dedicated external hard drive, if you have a fast enough port like an eSATA or similar.
The Kali Forum has a pretty good overview of this approach: https://forums.kali.org/showthread.php?22032-How-to-install-Kali-Linux-on-External-Hard-Drive
Best wishes and have fun!