Quick step by step guide to set up SMP:
1) Download SMP client
here
2) Unzip in to folder with write permissions, e.g. C:/Users/David/FAH
3) Right click on the Folding@home-Win32-x86.exe and select create shortcut
4) Right click new shortcut and click properties
5) In the target box, type "-configonly" right at the end without quotes, click ok
6) Launch shortcut
7) Enter info as normal, answer yes to change advanced options
8) Keep hitting enter (unless you want to change other settings) until you get to "Additonal client parameters", here enter "-smp" without quotes
9) Keep hitting enter and the window would eventually disappear
10) Delete shortcut
11) Run Folding@home-Win32-x86.exe