EDIT : I figured it out.
For people using Windows 8, the file location for the Blender Addons is :
C:\Program Files (x86)\Blender Foundation\Blender\2.65\scripts\addons
Your edit is somewhat misleading to other users who may read this because it addresses only your specific solution and ignores some more general guidance/issues that may arise.
You are apparently using a quite old version of Blender (2.65) and a 32-bit Blender versionh. The current version is 2.71 and a release candidate for version 2.72 is already available.
The path to Blender will depend on whether you are using a 32-bit or 64-bit Blender and the Windows OS on your computer. For 32-bit Blender use 'program files (x86)' and for 64-bit Blender use 'program files' {without the x86} at thel start of the path. The 2.65 in your path needs to be replaced with 2.71 for the current Blender and 2.72 (soon) if you are keeping your Blender up to date.
So, for example, my path on 64-bit Blender on 64-bit Windows (7 or 8) is:
C:\Program Files\Blender Foundation\Blender\2.71\scripts\addons
... and more detail than you might want to read ...
The problem with even my "correction" to the original instructions is that users need administrative rights to write to the program files and program files (x86) directories. Depending on your computer installation and user account, you may not have these rights. Theoretically, this is why the path to the "user- specific roaming directory" is specified in the somewhat "dated" documentation you cite (i.e., it cites C:\Users\%username%\AppData\Roaming\Blender Foundation\Blender\2.6x\scripts\addons). Of course, one needs to replace %UESERNAME% with your actual login name and replace 2.6x with the appropriate Blender version. The problem with this latter citation (in addition to an old version for Blender) is that AppData is often a hidden directory that normal users have trouble finding. This is why a batch file is provided for Windows users. Even the batch file has problems for the typical user because it requires a command line arguement pointing at the directory which the typical user won't think to provide.
You may encounter one additional problem. Blender itself ships with an older version of the .mhx importer pre-installed (but not activated in user prefs). For MakeHuman 1.0.0, the up-to-date version is located in the C:\MakeHuman-1.0.0\blendertools\mhx_importer folder. However if you just copy the folder-itself to Blender addons, the .mhx importer won't be available. Instead, you must copy the file from inside the mhx_importer folder (import_scene_mhx.py) dorectly into the Blender addons folder. You should probably delete the old Blender .mhx importer addon first. That said, there is a newer .mhx2 that will replace .mhx.
The development team is working on streamliing this installation process, but I'm glad to hear you got it working for yourself.