You install priiloader by running the priiloader installer via HBC, like you would run any other application. However, I do not advise installing it unless you have WiFi set up on your Wii. A bug in HBC causes the installer to crash (bricking your Wii) if you don't have a WiFi connection set up (and working). If you have WiFi, go ahead, its reasonably safe (if you lose power at the wrong moment, you could brick, but that's probably unlikely).
Now, onto the brick protection aspect. As brick protection, Priiloader is fairly poor. It's better than nothing, but no where near as good as BootMii/boot2. BootMii/boot2 can fix virtually any software related problem by restoring a NAND dump. However, if you do not have BootMii/boot2, it is strongly advised that you NEVER restore a NAND dump (although it
is technically possible with BootMii/IOS, it is made purposefully difficult because it is not recommended. With BootMii/boot2, if something goes wrong, you can just try again. With BootMii/IOS, if something goes wrong, chances are your Wii is worse than before).
With Priiloader you
can load BootMii/IOS in the event of a brick and restore a NAND dump (by using a GC controller to enter the Konami code), but as I said, it is not advised and is dangerous. Seeing as to reach BootMii/IOS you must be able to reach Priiloader, you instead load HBC from Priiloader and fix your brick using tools there.
In this manner you can fix banner bricks from installing bad custom channels or themes. However, you cannot fix bricks resulting from missing or corrupted System Menu or or missing or corrupted System Menu IOS. Those bricks would require BootMii/boot2 to fix. Having said this, it is very unlikely you will GET these bricks provided you are careful, don't mess with IOS or System Menu and stay away from failure "Safe Updaters" (if there is an update, there will always be info at these forums about what the update does and how to install it safely if necessary, or how to install necessary components from it)