yeah that page is blocked in North Korea where I live, sorry I meant the UK.
You need a torrent client. utorrent was the recommended one for windows last time I messed with that side of things.
I have a torrent client, but the file I download shouldn't be a .exe should it? There's like 9 download buttons all with different URLs.
Look for the button that looks like a red magnet. That should start up your torrent client automatically. And no it's not an exe file. It's an avi or MP4, I can't remember which.