Create a new folder in any convenient location that you have write access to, and which is not underneath the Windows program installation directory (in particular, somewhere that is not inside the MATLAB installation directory.)
The name you use for the folder is not important, but you should probably avoid having spaces or non-ASCII characters in the name.
Go into MATLAB.
Inside MATLAB, Use cd to change directories, naming the folder you created above.
[old_path]=which('rdsamp'); if(~isempty(old_path)) rmpath(old_path(1:end-8)); end
[filestr,status] = urlwrite(wfdb_url,'wfdb-app-toolbox-0-10-0.zip');
You can copy the code from here and paste it into your MATLAB command Window.
The program will install itself.
Afterwards, you can call upon the functions of the toolbox from any of your programs. You do not need to be cd'd to the directory that contains the toolbox.