Read the installation instructions carefully. The download, if the latest version is the same as we downloaded when it was first released, includes 10 files. Put them all in the same folder (I use a temporary installation folder only for the purpose of installing the HSFX mod), then locate and run the file called HSFX_Version_5_0.EXE -- ignore all the rest of the files. The .exe file you run will do all the work for you; all you have to do is point it to where your game is.
When it is finished, run the hotfix and then run JSGME, installing the mods in accordance with the installation instructions contained in the HistorySFX 5.0 readme.doc file (which comes with the download). Then run the game. If all went well your game should run and you should get HSFX 5.0.1. If you want to run a pure 4.10 game run JSGME again and add the stock mod and away you go (although after flying with HSFX you probably won't ever want to use the stock game).