In windows, you don't need to add any applications. You just need to add the language. Instructions on doing this if you have Windows Vista or Windows 7are here: http://windows.microsoft.com/en-US/windows-vista/Add-an-input-language For windows 8, the full page is here: http://windows.microsoft.com/en-US/windows-8/using-multiple-languages. Just look under the "Add a language" heading. Once you have added the language, the IME appears, and you follow the instructions under "Change the keyboard layout or input method you use to type".

I use a Mac, so these instructions are specific to Macs: System Preferences | Keyboard | Input Sources | click the “+” and add “HNC Romaja” (it’s much easier to use with a western keyboard than the normal layouts used for actual Korean keyboards). Tick the box saying “Show Input menu in menu bar”. Click the flag in your menu bar to switch between languages. Voila! You can also click the flag and “Show keyboard viewer” if you want to see where the letters are (but the Romaja keyboard layout is designed so the same sounds are on the same keys as a western keyboard, so pressing “p” gives you “ㅍ” which sounds the same). Also, while you’re in System Preferences | Keyboard, you can go to Shortcuts | Input Sources and check the box for “Select next source in Input menu” to give a keyboard shortcut to quickly loop through English > Korean and back. I use alt+cmd+down.