Double click on the icon to download it to a temporary directory (e.g., c:\temp). Then, using file manager to view the contents of that directory, double click on the program eudora95.exe. It will tell you that it is going to put the files in a directory called c:\eudora (change the directory only if you normally manage directories). The setup program will install the version of Eudora for your version of Windows.

This is an excellent mail program. It is the only program that allows you to change passwords on the host -- and it's free! Check out the Eudora home page for help in setting it up from here.