Download - This is the process of receiving data from another computer over the Internet. You download files by choosing to save them to your hard drive. It is important to remember where you saved the files to so that you can retrieve them later.
Self-extracting file - This is a file that extracts a file or files into either a directory chosen by the self-extracting file's author or by the user. Once this file is downloaded a single or double click (depending on your operating system's settings) will run the self-extracting program.
You would do well to have a download helper like Go!Zilla or Getright, because they save the place where you left off downloading if you stop downloading before it was finished. This way you do not have to start all over again.
