Dumb at downloading/Installing this please help

[PlaysAnarchy]

New to having a pc and I have no idea what i'm doing please help me here. I can't open the download file, it opens and close really fast, even though its downloaded. It keeps putting me back to the scrrenshot I posted 

I don't want to mess anything up. I just want to play videos games

[Shonumi]

Dolphin comes in an archive file (7z) so use a program that can extract 7z files. If you have no program to open 7z files, I imagine clicking "Open" wouldn't do anything. Your best bet is to download a program called 7-zip. Once it's installed, all you have to do is save the archive somewhere on your PC, then right-click it and use 7-zip to extract it.