I was on Windows while I saw this ... and took a few googling to find out what goes where to get it working in gVim (which I hardly use).

- "autoload" and "bundles" from "vim" folder in the downloaded archive should go inside "C:\Program Files (x86)\Vim\vimfiles"

- rename the _vimrc in in "C:\Program Files (x86)\Vim" as _vimrc.old

- copy the vimrc from the downloaded archive as _vimrc into "C:\Program Files (x86)\Vim"