Download the Framework and install either in the default location provided by the installer or wherever you store your Alpha applications. We recommend you maintain this copy of the Framework as the master and always work from a copy for each new project.
The installation folder will contain a subfolder named "extras". Move that folder OUT of your project folder, perhaps to your desktop. The Extras folder contains documentation and other files that are NOT part of your Alpha project.
From the Extras folder, copy the CAPTCHA folder to the root drive of any machine that will be running the Web Application Server. For instance, if you plan to publish to Local Webroot on drive c, copy the CAPTCHA folder to c:\captcha. Do the same on your server if you plan to publish your project to a server. The CAPTCHA is only used on the Framework's Contact Us page (so you can omit if you do not use the Framework's Contact Us component.)
The Extras folder also contains scripts to build the database for MYSQL and Microsoft SQL Server. Run these as queries in your respective SQL database.