Right click and 'save as'. Simply extract the zip file and run the setup.
NOTE: Last Chapter of Man requires a DirectX 10 compatible graphics card. Prettiest Ribbon only needs a DirectX 9 compatible card. Both should run fine on Windows XP, Vista, 7 & 8
The games require the following frameworks. The setup should automatically download and install these if not present. If you have any problems try downloading and installing these manually.