For who would be interested (that applies to any not-initially-installed module of XAMPP package):
- create a folder inside xampp, e.g. \xampp\mercury. In windows it should be "MercuryMail".
- download mercury from here: http://www.pmail.com/downloads_s3_t.htm
- during installation, point to the \xampp\mercury\ folder.
edit the file \xampp\xampp-control.ini:
[EnableModules]->Mercury=1
[BinaryNames]->Mercury=mercury.exe
Reload XAMPP Control panel That's all!