Extract the files, GAME folder as well as the Coco Loader file to any place. In my case I have moved them both to my desktop.
The game will remain on the background and your options become available from this point. You can switch to the menu by using ALT + TAB to switch between windows. Closing the game will finish the injection as well.
Operate with the menu by clicking on the options and navigating with the tab. By all means do not close it by using the cross X button or the injection will be terminated.
Notes. The menu is only visible switching windows. Cannot be operated while the game is selected.