When the file is on your machine, you should open your Downloads folder and look for the new file. Once you've found it, it's time to open the file archive. It's just computer terminology for a compressed version of the file. Files are compressed to make file transfer times shorter. You'll appreciate this if you've ever tried to download any large files over a 28.8-modem connection.
Some files can take hours to finish downloading.
Imagine how much longer the time would be if the files weren't compressed into a smaller size. Don't let extensions throw you, it's not necessary to know the ins and outs of all of them. You only need to know how to open them to extract programs. Just click it to start the installation. You should be able to double click that to start the installation process.