The programs that you download come in the form of WinZip self extractor files.
To make use of them after downloading:
Click Run and Browse to the Folder you have downloaded to, Select the file and Run it. Unless you instruct other-wise the files extracted will be placed in your default \Temp folder and SETUP.EXE will execute automatically.
First time download choose FIRST INSTALLATION. If updating choose UPDATE (prevents any of your data files being overwritten).