The download link is for a .zip file, which is like a folder, except that everything inside it has been compressed ("zipped") so that it's smaller in size (and thus can be downloaded faster). To uncompress ("unzip") it, you can use an unzipping program, such as Zipeg.

The "terminale" window that appeared is probably a terminal window - a way for you to interact with your computer via text commands, instead of pretty windows and folders (which you're probably used to using). If you type "exit" in the terminal window, it'll probably close, which is what you probably want to do with it anyway.

So... First of all, make sure you're actually saving the .zip file from the download link, and not trying to open it. Save it in a directory you'll be able to find.