C:\Users\yourusernamehere\AppData\Local\Zandronum - is where the directory will be. Simply drop the doom files from step 2 (freedoom1 and freedoom2) and the moon man .pk3 file into it.
double click play moon man (The moonman .pk3 file), and you should be good!
P.S. This took me a couple days to figure out. Not quite as easy as black lives splatter!