I have initially installed XAMPP without checking the Mercury installation. Of course, the module shows-up in the XAMPP Control panel but is disabled and there is no mean to install it from there. How should I do without re-installing the whole XAMPP package?
For who would be interested (that applies to any not-initially-installed module of XAMPP package):
edit the file \xampp\xampp-control.ini:
[EnableModules]->Mercury=1
[BinaryNames]->Mercury=mercury.exe
Reload XAMPP Control panel That's all!