If you use the Auto Install button on the download page, you can just run the setup file immediately after downloading it without needing to save it.
If you don't have the Auto Install button, it can be enabled by going to the Download UserCP link ("Menu" section, upper left corner of main page), then Preferences. On that page, you should see four different sections (My Favorites Options, Download Options, File Display Options, and File Comment Options). Download Options has the auto install controls.
Once this is done, you should be able to follow Faetyl's
instructions without a problem.