Choose your operating system
Click the proper mirror next to the version of blender for your operating system. You can usually just click the mirror closest to your current location. (more info)
Also, at the bottom of the page are also links to the daily experimental builds and the source code. This can allow you to get access to the latest features (at the cost of stability).
You have successfully downloaded blender!
Once you have downloaded blender, to open it, simply unzip, and then open blender.exe or blender.app