According to the instructions on electrum.org/download.html, I have to install PyQt4 first.
On PyQt4's page hosted by SourceForge, there are 6 files available:
PyQt4-4.10.3-gpl-Py3.3-Qt5.1.0-x64.exe
PyQt4-4.10.3-gpl-Py3.3-Qt5.1.0-x32.exe
PyQt4-4.10.3-gpl-Py3.3-Qt4.8.5-x64.exe
PyQt4-4.10.3-gpl-Py3.3-Qt4.8.5-x32.exe
PyQt4-4.10.3-gpl-Py2.7-Qt4.8.5-x64.exe
PyQt4-4.10.3-gpl-Py2.7-Qt4.8.5-x32.exe
Question #1: Which file should I download and install?
The last one. Also, make sure you install Python 2.7.6 first.
Next, the instructions on electrum.org/download.html state that one should install Electrum-1.9.5.zip
Question #2: How does one install it on a Microsoft Windows OS machine? I have unzipped Electrum-1.9.5.zip and there is no setup.exe.
Unzipping is enough. (I agree the Windows instructions could be worded a little better.)
Lastly, the instructions call for execute 'python electrum'
Question #3: Do I have to first open a command prompt? Some further instructions would be helpful.
Yes. Feel free to ask if you need more guidance.
Any helpful advice would be much appreciated.