Martin, I'm not sure what you are asking. If you are using Microsoft Windows, and if you want to know what to do with the file you have downloaded, it's a compressed .zip file. You will need to extract (unzip) it to the directory of your choice. To do that, right click on the file and select "Extract All" then select the directory you want to put it in.
I like to put it in C:\ this way it's in C:\Processing-2.0
If you have already done that, you should find the processing.exe file in the directory (folder) you have extracted to. Double-click on that processing.exe file and it should open the program for you. One more step you might want to take is to put the processing.exe onto your desktop.. To do that, right click on it and select "send to" then select "desktop"
I'll try to help out more if you have further problems.
- James
