You cannot launch any program from within LW. SO you must go to the LW downld folder & open it from there. Unless you changed the download location, the default location is C:\Documents and Settings\"your account name"\Shared

Alternatively, for fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.

As to how to use the program you downloaded, well perhaps you could google their support site to see if they have an online manual or something.

BTW you posted your thread in the PHEX program section. Please in future make sure you keep your LW posts in the LW forum sections. I have moved your thread.