When Lantern is downloaded it will download one file, either lantern###.jar or lantern###_unzip_this.zip. With the unzip this file, unzip it to get at the jar. The unzip_this file is used with some OS's in order to download a jar file without the extension changing to zip.
Plance the jar file in a folder, for example I create a Lantern folder on the desktop. Lantern creates files when it is run such as settings files and having it in a folder will cause all these files to be created in the folder the user places it in. Jar files will run if double clicked or sometimes also a right click on file option, then run with Java or run with Jar Launcher(it may be Open With not run) as long as Java is installed. Lantern requires at least Java 6 to be installed. If the user installs Java to run Lantern but does not want Java on when web browsing, they can go into their web browser's settings and disable Java and Lantern will still run.
Window's users if Lantern doesnt seem to save its settings then Lantern probably doesnt have permission to write to the folder it is in. Try placing it in My Documents or in a folder created in there.
Update Oct 2 2018 Now on Windows 10 it appears with the typical configuration Lantern can read and write files if you put it in my docs but not create them. To fix this and let it save settings create an empty multi_settings.txt in notepad and put it in the lantern folder. More files to create that lantern uses are listed on this page. To get engines and the book to work that Lantern would normaly extract to the drive the user can downlaod them in a zip file and place the contents in the folder lantern jar is in at Lantern Extras.
Mac users, if you get a prompt that the OS can't run Lantern because it is downloaded from the internet, do this. Press the CTRL key, hold it down, and then Left click on it for a menu. Choose Open. It will run next time without this extra step. If this message appears is controllable in the Mac Settings.
Linux users Lantern will run best with Oracle java 7 or 8 or Sun Java 6, not the open source Linux Java as I did not build it with that.
Users can go to the Help menu / Change Log to see the current version of Lantern and check if it is greater than the version printed in the main application's title bar. If it is, the new jar file can be downloaded and placed in the Lantern folder. Once the users is satisfied with the new jar file the old one can be deleted if desired. By placing the new jar in same folder as old, all previous settings will be used.
If the user wants to install the Lantern jar in a new folder but keep some of their settings, below is a list of files Lantern uses that can be coppied to the new folder as desired:
multi_settings.txt This is the main settings file. Most all settings are in here such as colors, window sizes and which channels go on which tabs. Also board and pieces choices are in here.
lantern_engine_directory.ini If an engine has been opened from the Options menu, this file remembers the directory the engine was loaded from to open that directory next time by default.
lantern_board_on_top.txt If the user has selected to make boards always on top windows which can be selected in the Options menu / Advanced sub menu, this file remembers that.
lantern_notify_controler.ini This is used if the user has elected to not see notifications from some people - an option on right click on name in Notify Window.
notifyontabs.ini If the user has set it to only show notifications of some people on certain tabs only not others this is saved here - another option on right click on name in Notify Window.
lantern_credentials.txt The users name and pass if saved are stored here. They are encyrpted not stored in plain text. It is still important to keep this file secure as it can be used on another copy of Lantern.
multi_mine_settings.txt This is not important to most people but if the user plays minesweeper, an option on the Help menu's Extra-games sub menu, it is used to remember high scores.
lantern_username.pgn if in the Game menu then PGN sub menu the Log Pgn option is checked, this is default, Lantern will save games from each user that plays in pgn game files with this naming format. Name becomes the username such as lantern_kasparov.pgn.
lantern_oblitz.pgn, lantern_obullet.pgn, lantern_ostandard.pgn, and lantern_owild.pgn if in the Game menu then PGN sub menu if the Log Observed Games to Pgn option is checked, Lantern will save observed games to these four files depending on time control.