I think the instructions in the user manual are out of date as it discusses a Zip file whereas the current download is an executable.
You are right: those instructions correspond to the older method, that is not being distributed any more. We switched some time ago to the current installer-based method which do not really need instructions. We will replace the old instructions and simply refer to the installer.
At the end of the download the programming environment looks as if Emacs is being used, but if I shut down Emacs and the programming environment, I can make Emacs come up again by itself and also Ciao by itself, but I think the two should work together.
Make sure you install things as administrator (this is necessary due to changes in windows 7 and XP), i.e., go to the folder into which the installer file has been downloaded, click on it with the right mouse button, and select in the menu "run as administrator".
In any case we have noticed a recent change in windows 7 that in some cases makes Emacs not find the Ciao top level executable and we hope to post shortly a fix for it.