As nearly as I can figure, you have to apply the different castle wall pieces to existing walls instead of the usual wall coverings. One. Piece. At. A.Time. I haven't quite figured out exactly how to place the columns that make the round towers. Or what to do with the tower after I've made it. I'm sorely lacking in patience.
Sorry I couldn't give you a more complete answer, but you're welcome to the benefit of what little I've been able to discover.
The chandelier that belongs to the castle set is so beautiful.. but the chain its hanging in is 4 clicks to long... or 12 clicks to short, if its supposed to be hanging in roof one floor up. Annoying!
It also doesn't give much light that I can tell . . . a lot of stuff from the Sims Store seems to exhibit similiar problems.