OK, detailed instructions to follow:
Pack up your computer in the original box and packing.
Bring your receipt.
Go back to the place of purchase.
Tell them you need a refund because you're too stupid to operate a computer.
Problem resolved.
Now onto a useful solution:
The file that you get from the web site is in fact a .ZIP file. You want to SAVE this file to your computer, preferably in your MyDocuments folder.
Go to your folders options and VIEW and DE-SELECT the option of "hide extensions for known file types" and you'll clearly see the .ZIP show up on the end of the file name.
Double click to open the .ZIP file that you downloaded. Inside you see the ADJ directory.
Drag the folder that you see inside the opened .ZIP file. It is called "mydmx-march 2009". Drag that to someplace convenient. I disagree with Jingles as to where to put it, but that is a trivial concern. The desktop is fine. I would keep it in "My Documents". Either option is fine as long as you can find it to do the installation.
If Dragging and Dropping is too complicated for you, once you've opened the mydmx-march2009.zip file, you can COPY the "mydmx-march 2009" directory and then PASTE it somewhere convenient, such as the desktop.
Open the MyDMX-march 2009 directory, which you've most likely dragged to your desktop. Inside you see the "adj.exe" file. That is your installer. NOW you are ready to install.
Last bit of usefule advise:
FIRST pants, THEN your shoes.
(Yes, I would say this to your face, right as I hand you an invoice for $300)