Depending on your Windows and Internet browser security settings you see a 'Discard' button. If so, right-click to the right of the 'Discard' message and click 'Keep'.
Then you should see the name of the program. Right-click again and select 'Open'.
Depending on your Mac OSX and Internet browser security settings the program might not start the first time. If so, press CTRL whilst double-clicking the downloaded program's icon.
Then you should see a window that this time includes an 'Open' button. Click the 'Open' button.