On the download page, after filling in the forms asking for registration information, you will have the ability to download the file. This file will be a zip file that contains the program and all necessary setup files. A zip file is a compressed archive that allows faster downloads.
After clicking on the zip file, your browser will likely ask for a location to save it. It may directly connect to the winzip program to assist in installation. If it asks for a location to save the file, select or create the directory into which you wish to install the program. It will then download the zip file directly to that directory. At this stage you can go to a dos prompt and type: pkunzip name.zip where name.zip is the name of the file downloaded when in that directory and it will expand the file.
If winzip appears after clicking on the file for download, follow the instructions that come with that program to extract the contents of the zip file into a new directory.
In either case, at the end of the un-zipping process, you may wish to add the program to the start menu in windows95/NT. To do this, right click on the start button and select "open". Each menu panel of the start menu will now appear as a folder icon in the newly created window. As such it will be possible to create a new shortcut for the file this way.
For more assistance, ask your local computer-guru, or look in the documentation for windows.