Anyone can explain STEP BY STEP what we have to do to make running this wallet? And then, what must do with the private key?
Yup. Download this (assuming you are on windows)
https://www.dropbox.com/s/rz2kdciobpchlsy/syscoin.conf
Then go to
C:\Users\\AppData\Roaming\SysCoin
Short cut is windows key + r and type %APPDATA% then open syscoin folder
Paste the syscoin.conf file.
Close and open the syscoin wallet and should sync.
Then when you have the private key go to
Help > debug windows and click on the console tab
Then paste
importprivkey kjuoiafs87asf978asd99876asf9786asfd
Make sure you paste your private key that moolah sent you.
This does it for the updated windows client. Thanks.