When a file is added, it's usually a clickable link with underline. click on it, then it should pop up another window where it asks what to do next. Choose to download to any location on your computer, as long as you can access it quickly. then you may need winrar to open zipped files. but usually people here post straight files.

for example:

I look for a game -> there's a link to the file -> I download it to the desktop -> I don't need to unzip, it's already a *.jar/*.nth file. -> then I load it onto my phone. that's all