Before installing the studio you must first install the Java SDK:

j2sdk-142_06-windows-i586-p.exe

Just accept the defaults.

Now install Netweaver Depeloper studio (SP13 in my case)

NWDS_SP13\J2EE-RUNT-CD\IDE\JDTsetup.exe

Install all components.

You will be asked for the location of the Java SDK which if you accepted the default should be:

C:\j2sdk1.4.2_06

Next enter your proxy settings, wwwcache:8080 in my case.

Now sit back, relax and wait for the long install to finish!