re: installing BGI. try running E:\Setup.exe (or whatever letter yr CD drive is) with the first of the BGI cds in the cd-drive.
re: Tutu and Trilogy (aka BGT). Tutu, like BGT, allows you to play BGI using the BGII engine - so interface, kits, dual-wielding, the whole shebang. BGT allows you to play from Candlekeep to Melissan in one game. the practical benefit of this, apart from a certain completism, is that yr PC retains whatever XP s/he finished the BGI part with, rather than going back to 125K XP (or whatever it is) when you import a saved BGI (vanilla *or* Tutu) game, and yr NPCs retain their XP and whatever attribute-buffing you gave them.
on the other hand, Tutu is actively supported on two different forums, is actively bug-patched, and has mods made and being made for it. BGT has no forums (a big problem, given that neither Tutu nor BGT are bug-free, and BGT in particular can be a real hassle to install) and is bug-fixed only sporadically - by way of example, the most recent BGT patch (114) was released in may/june this year, and all it did was port over fixes that Horred had made for BP-BGT the previous september... compare that with the frequency with which Tutu fixes come out. BP-BGT (ie Big Picture - BGT) and the related BP-BGT-NEJ (ie, adding vlad's neverending journey over the top) are essentially a third BGI conversion, in as much as there *is* support for BP-BGT (although not as much as Tutu) and there *are* mods being made for the BGT part of BP-BGT (again, not as many as for Tutu - and BP-BGT mods won't run, AFAIK, on a straight BGT install). however, BP-BGT requires an *additional* Gb of downloads to run (and about 10Gb space to install) and is a true voodoo install...
i wouldn't recommend *anyone* install BGT (or at least, not until Bardez, its principal creator, comes out of retirement); as for Tutu v. BP-BGT, it's personal preference; although Tutu is about half the size fully installed, 1/200th (approx) of the download size and has greater support. on the other hand, you can't play BoneHill on Tutu yet...