I am brand new to GOG, and have only joined because they offered Pharaoh and Cleopatra. I am using Firefox and was able to successfully download the game. However, installation is another issue altogether. I have clicked on the file and asked it to run, where I then expected it to proceed with installation. However, it did not. I tried again. Nothing. I searched for how to unzip it. Nothing. The only thing I haven't tried is standing on my head while clicking on the file.

Hello and welcome to GOG!

I've tried running 2.0 version of this installation file and it runs fine (as did 1.0 version). If you're using Windows Vista/7/8 than try launching it with administrator privileges (right click on setup_pharaoh_gold_2.0.0.12.exe and choose run as Administrator and then Yes). You can also unblock this file (in its properties window) and make sure it's not getting terminated by you anti-malware/antivirus software. At the very least re-download the file with Firefox or use GOG.com Downloader if files are getting corrupt during downloads (https://secure.gog.com/downloader).

You might also want to try looking at the support section, in particular this page. It mostly repeats what was said by the above poster, but might still be helpful. If that fails, you can always submit a request for support (on the right of that page), which I hear the staff are good at responding to (though for myself I've never had to use it).

Oh, and welcome to GOG!