If you don't have one of the popular download utilities, you will be presented with the following box (note: these pictures are for illustrative purposes; you will see Hicks' Enigma, not Crypto Challenge when you do the download):

Make sure the Save This Program to disk is selected. Click OK.
You want to get to the c:\AA download folder. Click the Up Folder icon

so that (C:) appears in the Save in: window. Double-click on AA downloads.

Click on the Save button.

The download process will start. The file is about 3 Meg. With a 56K modem it will take about 12 minutes. Go get a cup of coffee.
The box below will keep track of how much longer it will take.

When the box above disappears, the download is done.