1.) Click the link download.
2.) The PkmnSalt&Shadow.zip file should download automatically. (If it doesn't, there should be a "Download" button you can press)
3.) Once the PkmnSalt&Shadow.zip file has been downloaded, open it and press the Extract All button. (You can also open your Downloads folder, right click it, and click "Extract All...") It will extract the game files into the location of your choice.
4.) In the location you chose (default is Downloads/PkmnSalt&Shadow), run Game.exe. If Windows SmartScreen tries to stop you, you may need to press "More Info" and then "Run anyway".