All the downloads you'll find on DMS are contained in .zip archive files, this is an easy way for you to download many smaller files in one go.

Windows XP/ Vista: double click the .zip file, this will bring up a Windows Explorer window showing the files within the .zip.
From the file menu of this window choose "extract all". This will bring up a wizard to extract your files to the directory of your choice.
Alternatively use WinZip or WinRAR, both are free downloads from the net.