Dynaman was split up into 3 different packages: Dynaman, Dynaman_data and Dynaman_dll. Dynaman contains the dynaman.exe file and sourcecode, Dynaman_data contains images and sounds needed by Dynaman, and Dynaman_dll has some libraries that you will need to run Dynaman. If you're lucky, the libraries are already installed on your system.
First, download the Dynaman 0.6.0 file and extract it. To extract a .zip file, you could use WinZip or any other zip extracting software like WinRar or WinAce, etc. You should now have a directory "dynaman". Download Dynaman_data and extract it into the new "dynaman" directory that was created when you extracted the base files. Now try to start the "dynaman.exe" file. If Windows complains about a missing SDL.dll file or nothing happens at all, download Dynaman_dll and extract it into the same directory ("dynaman"). Dynaman will now start in fullscreen mode. Make sure to check the keyboard and sound settings in the setup menu!
If you encounter any problems while playing or installing Dynaman, check the Contact link.