This is the legacy version of CS-Studio, based on Eclipse. SNS had to stop updating it in May 2019. We suggest that you switch to the current CS-Studio development that removes the Eclipse/RCP dependency from CS-Studio, see Phoebus.
To perform the actual download, right-click on for example the Windows version, select "Save Target As..." as shown here:
A "Save As" dialog should open where you can select the location on your computer where you with to place the downloaded file.
If in doubt, pick the "Desktop", press "Save".
You should then find the downloaded file, in this example "sns_css_1.2.0-win32.win32.x86.zip", in the location where you downloaded it, for example the desktop. Proceed by unpacking the ZIP file as described on the main CSS download firstname.lastname@example.org