The files in the BRR package must be extracted to an empty folder. The location of the folder (shouldn't) matter as long as it's in the same drive with BVE, so you can e.g. extract the contents to C:\BRR or C:\Program Files\BVE\BRR.
Most files in the package are to be extracted into subfolders, so you must use "Recurse subdirectories / Use folder names" (WinZip) or similar switch so that the files go to right folders. If you're asked to overwrite something during the extraction, you're doing something wrong: either the folder is not empty, or you're not using the required extract switch. The image on the right shows an example of the folder structure.
It's also a good idea to make backups of BVE's SignalX and RelayX bitmap files, as the signal systems are not fail proof. This way you can restore BVE's original signals in case something goes wrong. If you've stored the BVE install package, or you can restore the original bitmaps in some other way, you don't need to create backups.
If you haven't installed your BVE to C:\Program Files\BVE, you'll have to configure the program before you can use it. Open the configuration dialog, type in the correct paths and finally click Save. "Ohjelmatiedostot" in the image stands for "Program Files" in Finnish. Note the lack of trailing slashes in the paths.
Configuring BRR