All you really need to do is pick a directory for it to download into, the filename should be there for you already. You could just accept whatever it suggests but you might have to look for it after. I download things to the desktop so that I do not need to look for them when they finish downloading. O)f course once you have used it you do not want to keep it on the desktop. The name should be this:
PlaneShift-v0.4.01.exe