Click on the icon next to the file you want to download.
If you're running Internet Explorer, a dialog such as this one should appear. In Netscape, a similar dialog will appear. Click on the Run from current location option and click OK.
Metasquarer will begin downloading. Depending on your connection speed, this may take a few minutes.
Upon completion of download, a dialog such as this will appear. Make sure you click yes.
Installation will now begin. Follow the on-screen instructions to continue.
You should see a group in your start menu called "Metasquarer" (Or whatever you chose to name the group during installation). Open that group. Click the shortcut that says "Metasquarer" to play.