Hello again, Sparkler.
Choose 'Save' and then select an appropriate destination for the file. e.g. C:\Windows\Downloaded Program Files
When you've downloaded the set-up program, go to its location and double-click on the icon to run it.
Installation is very simple. When you're asked if you want to import your Internet Explorer favorites, chose 'Yes'.
In future, when you go online, open Firefox instead of Internet Explorer. It works in a very similar way (so you won't find it too daunting). It's default setting is to block pop-ups but, if you ever wanted to change this (so that you can view a site where pop-ups are essential), go to Tools > Options > Content and remove the tick from alongside 'Block popup windows'. (Alternatively, you can leave the tick there and click on 'Exceptions' to tell Firefox which sites you want to accept pop-ups from).
Most people love Firefox but, if you decide it's not for you, Internet Explorer will still be there. (i.e. installing Firefox doesn't damage or remove Internet Explorer). So you've nothing to fear from installing your new web browser.
Chris