Tutorial
Go to the Panda Cloud Homepage and click "Download free". Save the file to your download location of choice.
Right click the installer file and click "Run As Administrator".
Press "Yes" on the UAC Prompt that will appear. (Note that Windows XP does not have UAC=User Account Control).
Now you can setup the installation by clicking "Options".
You can choose the language, installation folder and an option to install Panda Security Toolbar (for Firefox and Internet Explorer only) including URL/Web Filtering (antiphishing; compatible with all major web-browsers). Click "Accept and Install" afterwards. (The default installation is in English, installing Panda Security Toolbar.)
Now, the installer will download necessary files, will extract them and install Panda Cloud Antivirus.
Once the install is done, the following window will appear. If you want, you can create an account (this is optional). If you would like the Free version just press "Finish". And you are done. If you are installing the Pro version continue to the next step.
Enter your pro key into the box. Then press "Verify" to authenticate the key.