What's the best approch when installing suspicious software?

"If you are not sure about the content of the software then I wouldn't even use it on a VM.

If you do run it in a VM, make sure that you don't share user credentials between it an any other machine/VM (i.e. don't use the same username+password) and make sure your other machine's/VMs have relevant firewall provisions installed and correctly configured in case any malware inside, if there is malware inside, decides to look around your network to find security holes that would not be accessible from the outside due to your router's or ISP's filtering. Is the game really worth the potential hassle?"

Virtual PC is way to go. As long as you don't copy anything from virtual machine, you are safe. However, do notice that you need additional license for your OS inside of virtual machine (exception is Windows XP mode in Windows 7). You may get around that with getting evaluation version and reinstalling every 3 months (or just rearming).