Start with registering a demo account with Dukascopy and launch the JForex platform (of course a live account can be registered, the data process is the same). You will receive a mail with login data, use it to login (the account ID isn't needed to login), navigate to the Tools menu then select Historical Data Manager. The Historical Data Manager interface should appear in the window lower part; from now on, everything to perform will be in that part of the window so you could enlarge it a little. Proceed as follows:
Now, as everything has run fine, you can proceed with Preparing the tick data for Metatrader 4.
Note that data are cashed to the disk by JForex. If for any reason it had to be deleted it, it then can be found in C:\Users\[your username]AppData\Local\JForex\.cache on Windows 7. On XP/Vista, explore your user folder, it should be in a similar path but in Application Data instead of AppData.