Hi,
When you have downloaded the game, you have to run the game on your own. For example in DOS OS or DOSBOX emulator. To run the game directly from the browser, try Play NOW button on the game site.

Play NOW button starts our applet that can run the game for you without the need of setting up your own environment.

If you still want to run the game on your own without DOS OS, you should start here http://www.dosbox.com/wiki/Basic_Setup_and_Installation_of_DosBox