Well, what you have downloaded is called the installer.exe of the player. You'll have to double click it and then it will start to install itself. Then just follow the installation and click ok where desired and/or necessary.
Afterwards you can try and open a media file either by trying to double click a media file 9which should actually open the VLC player) or by right clicking a media file and then choosing "Open with...">"VLC player"....
