Just click the word Downloads above.

On the next page, click on the link for Holiday Lights for Windows. This will download (transfer) it to your computer.

Save the file on your desktop (or somewhere else that you'll be able to find it easily).

When the download is complete, you will see a new file named "HLSetup" or "HLSetup.exe" on your computer. This is the setup program for Holiday Lights; simply open it (by double-clicking) to install it, then follow the instructions.

 
See also:
I've downloaded Holiday Lights, but nothing seems to happen — it isn't installing.