No way around it Jack, the files are too large to just download and install in one step.
Download all the files. Right click on your empty desktop and choose "New Folder". Name it Trainz 12 or something. Move all the files into this folder. Disable antivirus. Open folder and explore the files until you find the installation file, usually it will be an exe file. Right click on this file and then choose "Install (or Run) as Administrator". Be prepared to supply the serial number when asked.