the download is a zip file, download the ZIP file then right click on it and hit extract-all (or similar) and follow the prompts (on mac double-click the zip file)
once you get the DXF file out of the ZIP file you can IMPORT the DXF into your CAD/CAM/vector software
in p-cam, after you hit IMPORT, you have to choose file type DXF in order to find and import DXF files
I can't hardly explain the entire process after that....