A minor correction to make it work...!
I've removed the setup.exe
Now, you have to add the solution with stsadm -o addsolution -filename lookupsolution.wsp
Then, go to Central Admin / Operation /Solution Management
and deploy the solution to the site(s) you want.
Then, go to your site settings for activating the collection features, first TEST Keywords
then Site Column Lookup Initialization
More information anyway on apichot.blogspot.com