Trouble with Installing Stockfish

I downloaded the Stockfish engine from Chess.com this afternoon and attempted to install it into the Arena GUI.  I moved the zip file to the Engines folder in Arena and clicked it.  The unpack window came up and I selected the "Unpack and Execute" button.   A second later Windows Media Player came up.  I closed it.  It came back up again.  I went through these steps a few more times.  I then tried to stop Media Player by the TaskManager.  It didn't stop MP from coming up again and again.  I could not use any other of my Windows programs.  I just finished re-installing Windows 7 64 bit and updating programs from my back-up/restore disks.

My question:  what did I do wrong?  I did not see any readme or how to install instructions on the download page.  I assumed it was just click on the file and it would install itself correctly.

Thanks, Dee.