Hm. Well I'll assume you have the file.
1. Find where you downloaded it to and double click it. Chances are a window will pop up asking you to confirm. Click Okay.
2. Accept the agreement by pressing Yes.
3. Select a directory for the files to be extracted to, preferably somewhere you can easily remember/find.
4. When finished, navigate to the directory and run DXSETUP.exe
5. Click I Accept.
6. Click Next.
From there it should just install normally.