Depending on what you are using as a firewall you may also receive a pop-up message asking if you would like to allow StarCraft to access the Internet. When the game has finished installing, you will have to run it as an administrator by right-clicking on the launch icon and selecting Run as Administrator. exe is quite small, however, the game will install to a larger size once finished. Obviously, you will need to accept the terms of usage and choose where you would like the game installed to.
Once you have downloaded the file launch it, select your language, then follow the installation process, which is pretty much the same as any other game you have installed in the past.