This section is intented for casual Windows users, who are having trouble getting from the download to a working application.
You specify at the time you download where the application is to download to. If you don't know where you've put it then I suggest one of two things. Download the application again, remembering where you put it. Alternatively use the Windows find tool (on some versions it is called the search tool), located on the start menu, as depicted below.
Search for FS*.EXE, similar to the following image...
You don't need Winzip, FS*.EXE is a self extracting executable. Click on the "Unzip" button - that is the button in the top right corner, as depicted below.