Your phone needs to be developer-unlocked to install XAP files. There are already a few posts on this forum explaining the different ways to get dev-unlock. ChevronWP7 Unlocker won't work unless you're still on pre-NoDo (build 7004/7008, definitely not on Mango), ChevronWP7 Labs may be available by now, though (if not, then soon).
Once you have dev-unlocked your phone, you can use any XAP deployment tool to install the app. There's an official one that comes with the tool download from create.msdn.com. However, in order to use this particular app (or any app that needs to edit the registry), if you're on Mango you'll need another step for Interop-unlock. Refer to the Development and Hacking sub-forum for info on interop-unlock. If you haven't actually upgraded to Mango yet (phone is on build 7389, 7390, 7392, or 7403) then you can install and run the app without needing anything more than dev-unlock.