All of this info could be found already in this forum. I don't see why krrios has to include it with every release but here goes:
You need
Ultima Online
the krrios client
directx9
http://www.microsoft.com/windows/directx/default.aspx
the directx9 managed libraries
http://www.runuo.com/krrios/mdxredist.msi
a decent graphics card
Install uo
Install directx9
install the managed libraries
You can download and unzip the krrios client to anywhere you want. It will work on your desktop, in your c:\ drive, in your uo directory, etc.....
Use the client config that comes with the krrios client to configure it for your setup. After that run it and see if you get any errors. It should give you a debug or error file if it does. Read what the errors say if you get some and fix em. If you are error free you should be good to run it.