Are you using Internet Explorer?
If so, when you go to that page, select the stationery you want in the
"Download Now" box, and click on OK.
You should get the security warning, asking if you want to Run or Save this
file... click on "Save"
You should see the "Save As" window, where you can select the folder where
you wish to save the file. By default, it should use the last folder that
you saved to.
After it downloads, you should see the "Download complete" window, where you
can run the downloaded file, or open the location.
If you click on "Run", you should get a UAC prompt, and then a window asking
if you would like to install the Outlook Express stationery....
Clicking on "yes" should copy the files to the
C:\Program Files\Common Files\microsoft shared\Stationery
folder, where there will be a sub-folder for the theme you downloaded.
You can copy these folders to
C:\Users\youraccount\AppData\Local\Microsoft\Windows Mail\Stationery
where Windows Mail looks for stationery.