You download it, and then unzip it, unrar it, unpack it, or whatever and then you have a folder called sfd2. You double click it and the only thing in the folder is an icon with a F in it (for Flash). You double click that and the game starts.
If you have something other than a Flash icon in the folder, you could try right-clicking it and choose "Open With" and choose Flash from the list. What operating system are you using? Do you have Flash installed?