Click Download and when you a box like this will appear. I prefer to save it to my downloads folder and continue downloading instead of extracting my files all at once.
As you can see here the file will be saved to C:\Users\"Your name"\Downloads. This is not the Sims folder that contains downloads so if you stop now your items that you just downloaded will not appear.
Magically the items appear as package files that are recognized by your game
Now the files can be moved to My Documents\EA Games\The Sims 2\Downloads where they can be enjoyed by your sims!