After clicking the Download Now link, Keyfinder Thing should begin downloading . The download is in the form of a ZIP file named keyfinderthing3.zip.
If prompted, choose to Save to Disk or Download File - your browser may phrase it differently. Save the file to your Desktop or some other location that's easy to locate. Do not choose to Open the File or Open.
The Keyfinder Thing ZIP file is very small. Even on slow connections, the download shouldn't take more than a few seconds.
Note: The screenshot above shows the download process for Keyfinder Thing when downloading using the Internet Explorer browser in Windows Vista. If you're downloading on another operating system like Windows XP or using a browser other than IE, your download progress indicator will probably look different than the one above.