You have to download it to your computer. At this point it is a .exe file. You then open the file on your computer and let the install wizard start doing it's thing. It will ask you where to save it and then save it to your SD card which has to be at least 1 gig.
You cannot load this .exe download directly to your HDS unit. It must be opened first. Once the wizard is done you should have 4 files on your SD card.