The major benefit, is not really faster folding, but they are worth way more points. Each WU is like 1500 points, compared to the regular console's 300 or so, per WU.
Before you set it up, make sure you have Microsoft .NET Framework 2.0 installed. Then download the SMP client. The text console version is preferred. Install it. Then before you run it, go to the directory, where you installed the SMP client, and open install.bat......It will ask you to set up a name and password. So set those up, and some things will happen. If you see this:
If you see this twice, MPI is working
If you see this twice, MPI is working
...twice, it installed properly. Then just exit.
When you start the SMP client, just answer the few questions they ask, like team number and name (your tech forums name is preferred). Then it will start folding. If you plan on putting the SMP icon on your desktop, as a shortcut, make sure you put the -local tag. You do this by right clicking on the shortcut, and where it says target, just add:
-local right at the end of it.
So it should look like something like this:
"C:\Program Files\Folding@Home Windows SMP Client V1.01\fah.exe" -local