You should have exactly one file, with a '.sublime-package' extension -- is that right? You download that from the wiki, and then double-click it. Then you go through the process of choosing Sublime to open the package file.
If that's what you did, here's the next thing to try. Sublime Text would normally be installed in such a way that packages automatically install. Your installation seems to be a bit broken. You can do one of a few things;
A) Try reinstalling Sublime Text. Your system should be set up to install packages by double-clicking, so just try installing the package again. If it doesn't work automatically, and the process above doesn't work, try...
B) Download a copy of this registry file;
It's the part of the registry that knows that Sublime text (installed at the usual place of c:\program files\sublime text\sublimetext.exe) is the application which handles .sublime-package files. You just need to double-click the .reg file; it'll ask if you want to insert the registry details; say yes. Then your system really will be ready to run sublime packages. If not, let us know what's going wrong.