First go to Control Panel > Folder Options > View. On the list, put the blob in "Show hidden files and folders" (on XP it is a good idea to leave it that way).
Try the download again but this time don't try to "Open" the file but "Save" it into a folder instead. It is in the form of a zip file (compressed). Most computers have some sort of decompression facility built in. Usually you just double click the saved zip file and you will then see a .reg file inside it. Extract this .reg file into a folder. You then either double click the .reg file, or right click it and choose "merge". Say Yes to all prompts.
If that is a problem then download the zip and extract the .reg file on another computer, then copy the .reg file into a folder on the faulty one using a flash drive.
Whatever, there is usually a way around this, so shout back if you still have difficulties and tell me at which point this goes wrong.