Specifically, once you've installed the game, you should go to
www.pacific-fighters.com, where you can find the patch to upgrade your game from 4.07 to 4.08, and then here on this forum you'll find the patch for 4.09. And if you're interested in multiplayer once you've gotten good, go to hyperfighter.sk and download hyperlobby. And then you're all set, mods aside.