This is my first time on here, I'm a Steam gamer. I'm trying to download some games I got on here, bt it's telling me I need to put it in the installer's file or something,not really sure what to do.
I'm used to just hitting Install, and letting Steam take care of the rest.
If anyone could help me out, I'd appreciate it.

What a troll. How did you succeed in installing Steam then...

Install the GOG downloader for easy installation of your games.
http://www.gog.com/downloader

..and welcome to GOG, btw ;-)

EDIT: If you want to download your games without the downloader, just open the game in your game shelf, choose your language and plattform (Windows or Mac) and download all files on the left side. If a game consists of more than one file, download them all in the same location on your computer. One of them is an executable file which you have to double-click to start the installation once the download for all files is completed.

In alternative you can turn off the green button of the "gog.com downloader mode", to get regular download links.
But the gog downloader is more convenient.

Edit: The Dastardly DeMignon edited! arrr!

Easiest way for you to do this is DL all four files (the ones in your screenie at the left). There's Installer part 1, part 2, and part 3, as well as the Universal Update. DL all four somewhere easy to find (desktop perhaps). The run part 1. The GOG installer will put it into a default location, so just go with that if you're comfortable with it. Not sure how Win8 is set up, but if it's like Win7, you may want to point it to an install location outside of Programs or Programs(x86).

Apparently you tried to run the first part of the installer instead of saving it. You need to click and save all 3 parts in the same location on your harddisk. Then start the installation by double-clicking the first saved file.

You're totally right. I didnt understand how it worked. I ended up just doing the gog installer thing. Thanks for your help though! What does the gog installer do btw? Just what you would be doing manually?

You're welcome. Basically yes, it downloads the games and installs them. The downloader uses a different way to download them though (in smaller pieces, instead of big files). So you can easily stop and resume downloads. It also checks for corrupted files when putting the pieces back together and makes it easier to get all the bonus content of a game in one click.

Further it notifies you of updates for your games, personal messages on GOG.com and forum replies.