Board.KolibriOS.org

I've followed the instructions for making a USB stick but all it did was install directly to the USB.

How do I install to my hard drive? I didn't see any program on the USB called "install" or something but I may have missed it.

You didn't miss anything, KolibriOS can't install itself.

There is INSTALL.TXT file in the distro. Pay attention to section "II. Install to hard disk."

That's weird, why not?

And when it says mtldr "works with" DOS/Win95/etc, does that mean it will automatically set up a dual boot with those OSes? Do I execute the mtldr.exe file from DOS/Windows or do I execute it from within KolibriOS?

In short, because nobody implemented it.

There is no such program as mtldr.exe, you probably meant mtldr_install.exe. That installer tries to set up a dual boot, right.
Please, note that install.txt doesn't mention Windows 7 or 10. I have no idea if mtldr_install.exe works on recent versions of Windows. Maybe other users will answer this question and update documentation.

Windows. KolibriOS can't run EXE programs.