Help downloading DirectX Software Development Kit

Hi im having trouble installing the directx thing. Basically it wont install with internet explorer. So im doing it with firefox and when I click on download and go to the next page the only option I have is to save the file which I do. So I then click on the saved file and run, then the launch application appears saying the link needs to be opened with an application but I dont know which one to choose from.

Anyone able to give me a hand that has installed the directx SDK this way.

Thank you