Nothing happens? Literally nothing? When you double click a file in the Finder, something should happen, even if it's just an alert that the file can't be opened for whatever reason.
The download is a disk image file named Media100_200.dmg, and double clicking it should mount a volume named Media100_200 on your system. Maybe it's already opened and not visible on your desktop? On my Mac it opens automatically from Safari.
As a last resort, try launching Disk Utility and use it to open the Media100_200.dmg disk image file.