SQLyog is distributed with an automatic installer script. Just save it to your desktop and doubleclick the installation file. You will have an option to choose which folder on your system to install to.
To preserve settings etc. when upgrading just install over the old version. However if you want to keep your old version installed for a while (could be relevant when installing a beta-version!) then choose a new folder for the new version. Multiple installations will share the same settings (as stored in your 'user profile') unless you start SQLyog with the -dir parameter.
When upgrading then please take the time to read the "version history" here or in the help file.
You may also need to replace your HTTP-tunneling file at your ISP(s). But SQLyog will display an error message if program version and tunneling file versions do not match.