because when I download it, it just goes into the folder

Open your downloads file and extract the files you need.

yeah its like level1critter says. You just download the game from the site. Then you need an extraction tool like winrar. With this tool you can easily extract the file on the folder you want. Then just search in the folder for the shopsim.exe it has an unreal logo. Double cick on that and your starting the game

This guide should help:

In the stickied thread I've got a tutorial :)