JSoko is distributed as installer package.
Choose the installer package according to your operating system and install JSoko just like any other program.
Note: JSoko will store the data in the common user folders used by your operating system. For Windows this is: %appdata%\jsoko
Alternatively, you can also download the file JSoko_1.XX.zip which is the plain application without the installer.
You need to unzip that file to play JSoko.
You can use any program that can unzip compressed files (for instance the program http://www.7-zip.org).
Of course you must have the permission to write to the folder you want to unzip the file to.
For instance, when you have downloaded the file JSoko.zip you can unzip it to the folder: