After running the installer on windows, simply click on the "Start I2P" button which will bring up the router console, which has further instructions.
On Unix-like systems, I2P can be started as a service using the "i2prouter" script, located in the directory you selected for I2P. Changing to that directory in a console and issuing "sh i2prouter status" should tell you the router's status. The arguments "start", "stop" and "restart" control the service. The router console can be accessed at its usual location. For users on OpenSolaris and other systems for which the wrapper (i2psvc) is not supported, start the router with "sh runplain.sh" instead.
When installing for the first time, please remember to adjust your NAT/firewall if you can, bearing in mind the Internet-facing ports I2P uses, described here among other ports. If you have successfully opened your port to inbound TCP, also enable inbound TCP on the configuration page.
Also, please review and adjust the bandwidth settings on the configuration page, as the default settings of 96 KBps down / 40 KBps up are fairly slow.
If you want to reach eepsites via your browser, have a look on the browser proxy setup page for an easy howto.