Saving your downloads directly to the program is a bad idea.
When you download a file, save it to your Desktop - this is your working space. Next extract the contents of whatever .zip file you've downloaded with the inbuilt extraction tool. (Avoid WinZip because it can cause problems with Windows Explorer.)
All you have to do is right-click while pointing your cursor onto the .zip file and select Extract All... then just follow the prompts. Look for something like the ReadMe file or ReadMe.txt or installation instructions -- in short, read all the documentation first. By that time the author of the file has probably managed to explain how to install his creation.
If you need more detailed instructions, don't be shy to ask.