Once a download starts you will see one of the following screens.
Select "Open" or "Run this program from it's currently location" to download and run the installation program automatically. Optionally you can select "Save" or "Save this program to disk" to select a folder to save the installation program to and run it manually later on.
Once download starts, the download progress screen is displayed.
Once download is complete, you may see a "do you want to install and run" message. Select Yes to continue.
Once the installation program is started simply follow the directions to install the game on your computer. This will add an icon to your Windows desktop plus add selections to your start menu. Select the desktop icon or the selections from the start menu to play the game.