If you're downloading torrents, which I suspect, you'll have to first download a peer to peer (P2P) client like for example: BitTorrent.
Only then will you be able to download files.
http://www.bittorrent.com/index.html
Click on
Download BitTorrent for windows in the top right hand corner and install it. After that, go to Mininova, Demonoid, etc, and choose the file you want. Double click it and your computer will start to capture the file. It could take a couple of days to download large torrents.