The options to select for the Select Additional Tasks setup window will depend on the version of Windows you are using.
If you are using Windows XP, check all of the option boxes then click Next.
See this step 
If you are using Windows Vista, un-check all of the option boxes then click Next.
See this step 
Read over the options you’ve selected and click Install. Depending on the specifics of your system, several different things may happen next.
If you are prompted to restart your computer, click Finish to restart and return to this step once your computer has restarted. If you do not see this message, please continue.
If this is the first time TightVNC has been installed on your machine, you may be prompted to enter a default password automatically at the end of your TightVNC installation.
If you do not see this message, you will have to manually launch TightVNC to enter a password. If the TightVNC V icon appears in your taskbar, double-click it to launch TightVNC.
If the TightVNC V icon does not appear in your taskbar, from the Start Menu click All Programs > TightVNC > Launch TightVNC Server to launch TightVNC.
Enter a secure password in the Primary password box that is 8 characters or less. Make a note of your password as you will need it when setting up iTeleport on your iPhone in Step 3.3. Leave this window open and continue to the next step.
Related: Choosing a secure password 