If it is a zip program unzip with winzip or equivalent program 7zip is free, to reveal a *.SCR file.
Place that SCR file in your windows or windows\system32 folder (directory) - double click the file first to check it works, placing into the system32 directory is supposedly slightly better.
Set as active screensaver as normal, delete the *.SCR file to delete the screensaver.
If it is an EXE double click and follow instructions, setting any paths as instructed.
******If you ever get 64 bit OS the SCR goes into the windows\sysWOW64 directory******
