Make sure Save to Disk is selected and click on the OK button.
Now the file will begin downloading. The length of time the download will take will depend on the size of the file and the speed of your internet connection.
When the download is complete, the window should look something like this:
Now click on the Open link for the file you just downloaded.
You may get a security warning like this:
Click on the OK button. These security warnings make sure that you don't accidently run spyware or other bad stuff.
The setup file should now run.
Click on Next and the setup installation program will install the game on your computer. Once it is complete you can play by clicking on the new game icon on the desktop.
It is a very good idea to keep the file you downloaded. Don't delete it! You never know when you may need to reinstall, or when you may get a new computer. You'll need the downloaded file to install again.