The best way to install the Counter Strike 1.6 dedicated server is by using Valve's hldsupdatetool and using the command line to update/install the server directly from Steam.
- Download hldsupdatetool from Valve
- Create a directory to hold your server files, such as C:\cstrike16
- Copy hldsupdatetool.exe into this folder
- Open a command prompt
- Change directory to your server directory (ie, "cd C:\cstrike16"
- Run hldsupdatetool to download the server files:
hldsupdatetool.exe -command update -game cstrike -dir .
You might have to run this command a couple of times, as Valve frequently updates their update tool. When the update tool's out of date, you'll update the tool instead of the dedicated server files. I know at least on Linux the updater downloads a differently named updater (ie, the command changes from hldsupdatetool to steam) so watch the updater's output carefully.
There's also a pretty good guide with screenshots on CStrike Planet if this isn't enough to get you going.