After you download, simply copy the mustangworld. This .SCR file somtimes downloads as a .EXE file which it's not. If you are having problems then download the .zip file instead. Standard screen savers have this .SCR extension in their file names. You'll need to make sure the .SCR file downloaded as an .SCR file.
Some browsers download .SCR files as .EXE files.
You can rename a file by clicking on it and pressing F2, or right click it and select rename. If you are having problems then download the .zip file and uncompress it, then install. Note you only have to download the above OLE files if you get an OLE type error when trying to run the screensaver. If you don't, you may confuse the browser and it will take longer to download the screen saver. It may already be downloaded into your browser's cache.