Hi,
A strange thing, disappearing folders.
When you are running a Windows, Apple or Linux system, the downloaded file is a zip. Extracting the zip will give you a folder. In that folder should be a file called "start.htm"
Click that file. It should open up a regular web browser (Internet Explorer, FireFox etc.). Also check if you have got the latest Flash plugin installed for your browser.
To give you the best support, please let us know which system you are running (Apple, Windows XP, Vista, Linux, Red Hat, Ubuntu etc. Which browser are you using? Internet Explorer, FireFox, Safari, Opera? What version of Flash are you using?