The installation file is a Java executable. You should be able to just double-click it to start the installation procedure. If that fails, a couple of things may have gone wrong:
- You do not have Java installed. Get the latest JRE here: http://www.oracle.com/technetwork/java/javase/downloads/
- Something else is configured to open .JAR files (like WinRAR or some archiving program). Right-click on the file and go to “Open With…” and select “Java Runtime”
- On Linux, the file might not be set as “executable”. Right-click the file, go to Properties, then Permissions and check “allow executing this file”. You may still have to right-click to “Open With…” and “Java”.