1. Download Chess.zip file to a hard disk directory, such as "My Documents" or another of your choice.
2. After download is finished, go to the directory where you placed it; find the Chess.zip file and right click it. This will present you with a menu of choices: if you choose the "Extract to folder..." option this will create a new folder named "Chess" that is located in the same place as the Chess.zip file, and will automatically extract all the files into the folder that it creates, such as the .exe, .hlp .bmp and other files.
3. To play the game, just find and open the new "Chess" folder and doubleclick Chess.exe file.