Hi
I don't know why you were having problems with the download. Maybe SourceForge (which handles the download for DotNetNuke) was having some issues, but that shouldn't be a general problem.
However, once you are able to download, make sure you get the Install Package of the latest version (currently 4.6.2). Also, please download the Detailed Installation Guide (availble from Resources > Documentatiod here on this site) to know what the requirements are and how to install DNN.
You're right, there is no .exe file; all the files you need are in the .zip file. Since DNN is a web application it consists of web pages (aspx and ascx files), code files (usually vb, can also be cs) and a whole bunch of DLLs. All you need to do is transfer the whole zip file to your server, unzip it, make some settings on the IIS and the database as well as in the web.config file (included in the install zip), and there you go!
And really, read the installation guide, and if you find you're having problems after reading it, come back here -- there are always people to help you.
Vera