OK You little devil listen up. You don't download Bitzi.
This is how it works. After you have completed your search, Right click on the file that you're interested in. Now go to Advanced > Lookup File With Bitzi. Left click on that and a new browser window will open which is Bitzi. Now you will see how other members have rated this file. If you see something like "Bitprint not found" then Leave it alone. Its probably a Fake or Corrupt File. If it has been Rated then you can read what or how the members feel about the file. Hope this Helps.
EDIT:
After you have found a good file and it has finished downloading, you should be able to launch and watch the file on your computer. If not then you will need to tell me what media player you are using. If WMP then you may need a codec pac. It seems to always need something before it will play anything. I would suggest trying VLC Media Player. Let me know what you are using.