Don't use your browser to download, use the downloader:
https://www.gog.com/downloader Download all installation files and patches.
Install in the order Peetz described.
If you're uncertain, use Galaxy:
https://www.gog.com/galaxy Start it up, login and find the game in your library. All you need to do than is to click the install button and wait.
You can choose to have a desktop shortcut or not when installing through Galaxy.
This option doesn't download install files you can use for backup purposes, though Galaxy does have that option somewhere. You don't need Galaxy to play the game, even if you used it to install a game.