I just got a new SSD (250GB). I want to move my Windows installation from my current HDD to the SSD, but keep all my files, documents, programs, games etc on the HDD.

Can anyone explain how I'd go about doing this?

install windows on the ssd. uninstall windows on hdd. those files will go into a folder called windows old. move the windows old folder to ssd.

When I upgraded to SSD I remember the SSD came with a migration software. I find it odd that it isn't the case with yours.
Anyway, as Snesboy said simply install Windows on the SSD, transfer any files you want to, and then change the booting device on the BIOS. Once you started Windows via your SSD, you can do whatever you want with the remaining information on your HDD.