Please check the location where your browser is set to download to see if the setup.exe file has been downloaded successfully. You must run the setup file to install the download manager. (Please be careful when running .exe files. Ensure you have selected the safe setup.exe file downloaded from this website.)
If you still cannot find the file on your computer or device, you should be given another chance to install the software when you attempt to download music from the site. You may also choose to download via your browser instead.