• Download the fan translation and unzip it
• Build nxengine for whatever platform you're on
• Copy the following into the unzipped Cave Story directory:
  • The extract and nx binaries (located in the bin folder)
  • The data folder
  • (Windows only) All of the .dll files, either from win32/ext/runtime/x86 or win32/ext/runtime/x64, depending on whether you built the 32-bit or 64-bit version
• Run extract and check that it finishes without errors
• Run nx and enjoy!

Soundtrack options

To play with the "New" soundtrack, copy the Ogg folder found in Cave Story+ to the data folder.

To play with the "Remastered" soundtrack, copy the Ogg11 folder instead.