XrmToolBox requires that Microsoft .Net Framework 4.6.2 (or above) is installed on your computer. Please follow this link to install it.
You can download the latest version from the home page.
Do not forget! After having downloaded XrmToolBox.zip, you need to unblock it! Right click on the zip file, then Properties. If you see a button or checkbox to unlock the file, do it.
Now you can extract the zip file safely
Change XrmToolBox storage location
By default, XrmToolBox is using your roaming profile to store files like plugins, connections, logs, settings, etc. These files are available in the folder C:\users\your_login\appData\roaming\MscrmTools\XrmToolBox.
If you need to change this location and/or you want to run multiple independant XrmToolBox instances, you need to create a shortcut to XrmToolBox.exe application. Then, in this shortcut, add the argument /overridepath:custom_location.
For example, the address of the shortcut could be C:\users\mscrmtools\downloads\XrmToolBox\XrmToolBox.exe /overridepath:c:\temp\xrmtoolboxStorage
To store XrmToolBox files in the same folder than the executable, use /overridepath:.