What browsers are you guys using?
If you're using Safari, once you've clicked on the download link, the zip file should be saved wherever you've got your system configured to download files to (the desktop is usually the easiest place).
Then (if you're lucky) the zip file should be unzipped automatically (probably using Stuffit Expander) and you'll then have a folder called
maclink.
Assuming the above has happened, open a Terminal window (Application->Utilities->Terminal) and then inside that window you'll have access to a command line where you can run the script.
Again, assuming that the file was unzipped on your desktop, you would then enter
cd ~/Desktop/maclink
and then you can type commands like
maclink ls /
or
maclink info
Hope that helps a bit more.
Mr Spiv: I guess the GUI you have a picture of never materialised?
Think I'll have a go myself...