After downloading Plock, double click on the step icon. It will appear either on your desktop on in your downloaded files folder.
Read through the license agreement. If you're okay with it, check "I accept" and press the install button. If you're not okay with it, don't install Plock.
Plock will begin to install. If you don't have the Microsoft .NET Framework 2.0, Plock will download and install it for you.