A Self-Extracting Exe is a Zip file that can run on a PC without Winzip. A Zip file is (in this case) created with Winzip, and is used because it compresses the files within making it much quicker to download.
The self-extracting files will, when run, extract into C:\DI Website\, but you can chose a different destination.
When downloaded, double click on the exe file. If you encounter any problems, it's probably because it downloaded badly.
Created using Winzip.
Once extracted, you will need to go to the new directory, and double-click 'index.html'. This loads your browser and takes you to the Games page where you can select the pages for the game(s) you have downloaded.
If you still can't get it to work, email me, and I'll try and explain it more clearly.