It will download to a folder on your computer by default, most likely it will be the "downloads" or "temp" folder on your C-Drive. Once this is download is complete it will ask you if you wish to "Run" or Save" again. If you choose to save the file, the folder it downloaded to will automatically open, then take the following steps so you know exactly where you saved it.
1) Double click the file named SOPbuilder.exe. It will automaticaly want to extract the files to your C-Drive unless you change it. To change where you want to save the files, click on the browse button shown on the pop-up screen below and choose the location where you want it saved.
2) Once you have decided where you want to save it, click okay.
3) The "Self Extracting" Archive will appear again - click Extract
4) When all the files have been saved/extracted you will see the "Finished" pop up, click okay.
A new folder as been created on your computer with all the SOP files needed to run the program. You may launch the new program by clicking on the SOPBuilder file (it will have the Sword Solution icon next to it). The program doesn't automatically place an icon on your computer's desktop so you may want to create a shortcut.