Help with mods

[Shooter7]

Sorry, trying to figure this out on my own, but after searching several threads I'm not finding out the answer to what I have going on. I am in the step by step Mod installation thread and following along with that, but I come to the part fairly early on about downloading the JSGME file, which I could do just fine, but then the instructions are saying to use the jsgme setup file. Where does the setup file come from? I am trying to open the JSGME that I downloaded, but it keeps asking me what I want to open it with and the things I have tried telling it to open with are not working. The step by step doesn't include how to get the setup file, or is the JSGME file itself simply a setup file? thanks