Jer, you need the TGW11a.exe and all four of the Bin Files. Just put them all in some directory together and run the EXE file to start the install. This will convert your default install of vanilla 1.4b to Grey Wolves 1.1a.
GWX is the next version of Grey Wolves. It too will need to be installed over a freshly installed v1.4b vanilla game. It's a HUGE step up from either vanilla or even GW 1.1a. It's currently being beta tested and with luck will be available in a month or so. The not-yet-completed readme file for it is 103 pages and growing.
There's a LOT of stuff in that mod.