Basically, it's a program that you link to your Touhou game folders - when you launch it, it'll give you a menu of all the Windows Touhou games. You just have to select one to start that game up.
When you launch it for the first time, the .ini file will pop up - change the directories near the top to the directories of your games, and you should be good to go.
You can even change the graphics if you want.