In the second quarter of the IPL, the students do two experiments with this Maxwell's wheel, where they do complete quantitative analyses of the rate of fall both with and without weights. As a lecture demo, it is better as a short qualitative demonstation to show that more mass distributed toward the outer edge will make it fall more slowly. Keep in mind that engineering majors do not generally take the second quarter of IPL, so this demo might be their only exposure to Maxwell's wheel.
The horizonal rod is fixed near the top of the two vertical rods. The string is threaded through the axel of the wheel and clamped onto the horizontal rod. (See the IPL lab manual if you need more information). You then simply wind up the wheel so that the string winds around the axel and let it go. It is useful if you wind it the same number of turns (suggest 10) each time. This way, the time required to drop to the bottom is inversely proportional the square root of the ratio of rotational interia to mass.
For the most clear demonstation, drop it once with the brass weights on the innermost holes, and once with them on the outermost holes.