Just download the file into a convenient directory. It is somewhat traditional to put it in the Windows directory, which is something like:
|Windows 98:||C:\Windows\System or C:\Windows|
|Windows XP:||C:\Windows or C:\Windows\System32|
Once the file is downloaded, open the directory it's in, right-click the file, and choose Install.
Many thanks are due to Rachel for writing this paper on OpenGL screensaver programming.