1. Click the link.
2. In the blue box that shows up a bit down the screen, click the "Download" button.
3. On the next screen, wait for the download box to show up. If it doesn't show up, click Start Download.
4. Save it somewhere you can find it.
5. Run it.
From there, it should just take you through the setup. Follow the directions and let it install. After that, simply restart your computer and try running Lunia again.