It is in a zip file so you need to unzip it first (sorry, forgot about that). So the file you downloaded should end in ".zip". I'm wondering if you have a program installed to unzip it with though? If you have, when you right-click the file, then one of the pop-up menu options should read "Extract Here", or something like that. Then you will have a .exe file to double-click (as well as an .htm and .txt file that you can just delete).
As far as I can tell you have a modem but not a router, so I am not quite sure how you go about forwarding a port with that....maybe someone else on here knows how?
Had a quick look on the port forwarding guide and you might have some luck following these instructions:
Port Forwarding for the Axess-Tel CDMA-1XEV-DO