If you download the phoenix-win32.zip file from the
http://ftp.mozilla.org/pub/phoenix/n.../latest-trunk/ page, all you have to do is unzip it and its ready to go.
Nothing to install. Just unzip it to whever you want, then you can make a shortcut to phoenix.exe and put it on the desktop if you want.
I don't think theres really a need to download every new one. If you're having a certain problem with it that you can reproduce, you should go post it on the forums at
www.mozillazine.org, or search for it there to see if anybody had the same problem. Chances are somebody might have been experiencing the same problem in earlier builds and will recommend a newer build that it's fixed in.