My fellow SIR,

    Everything actually depends on how your browser it setup.  Internet Explorer tends to save files in your profile's "Downloads" directory. When you open "My Computer" click on your name and you should be able to find the "Downloads" directory.  In the picture below, my FireFox settings allow me to specify where to save downloads.

So, first, when you click on the DOWNLOAD link, you may be asked if you want to Run or Save the file, like in the Internet Explorer example below. If you like, just click RUN.  It should download and automatically run itself. 

But, like the FireFox example below, you may only get to save...

    If you want to keep a copy of the installation file on your computer, choose SAVE. 

    Then, you may be asked where to save the file.  Some browsers are setup to ask and some save in a specific folder.  I have my browser setup to save in my "Internet Downloads" directory.  If you don't have a "downloads" directory, I suggest making one.  That way anytime you download a file, you know where it is.  In any case, you should choose a directory to save the file temporarily.

    Once the file has finished downloading, open "My Computer" and navigate to the directory where the file was saved and dbl-click on it to run it.

If you have no clue what I'm talking about, call a younger SIR or family member. Those young bucks "know everything" don't they.