You need to install A BitTorrent client. I hear the good ones are Azureus (java based, so will work with any OS that supports java) and BitTornado (I think it's Windows only).
Once you install your favorite client, open the torrent file you downloaded with your client and you should be in business. You may have to configure your router and/or firewall, if you use them. Post back here and let us know if you have any problems.
Azureous:
http://sourceforge.net/projects/azureus/
BitTornado:
http://www.bittornado.com/
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