1. Do they cost money?

2. What do they do?

3.I am looking for an analyzer download which is a good one?

You can download anything in the download section, and they are clasified as freeware or shareware. The first is always free, while the latter is usually a trial version only(but it dont cost you money if you just downloaded it). There are many kinds of downloads but I prefer to use playing programs. I tried almost all the downloads in that section and I think winboard and arena are the best. These softwares cannot analyze your games but there is the evaluation board which tells how good or bad your moves,which means they just act like indicator.

Try Arena:

http://www.playwitharena.com/

so they are free then?

everything isn't free, but usually what you want is free.

Yea its free. Actually im also a contributor of chess program downloads.