Replace the existing file of the same name. It could be in one of a few places - probably in "c:\program files\nextpvr". For the existing file of the same name to be sure.
Probably C:\Program Files\NPVR .... Just unzip it into that directory and choose yes when it asks if you want to overwrite the original NShared file
Now I had a lot of problem getting a client to work on an freshly installed XP SP3 Home Edition. I don't know if this is true for other higher versions of XP (Business, corporate, etc) but you can NOT share the All Users\Application Data directory or anything below it. (The Microsoft Help file states this clearly) I had to make a new directory under Documents and Settings called Public and move the NPVR folder under All Users\Application Data to it and then change a entry in the Registry to point to it. I also had to make a firewall exception for port 8968 but that shouldn't be necessary unless you also have some client machines.
After that every issue I had (except a bandwidth problem with streaming to client) went away