After downloading, you will unzip this zip file, it does not matter where, everything it needs or wants is all within it's own folder.
When you run BNGE, it will automatically check for updates, it should not find any and continue, but if it does the update will be inside the same folder that you unzipped to and it will be under the name of "Update.zip".
You can disable automatic updates in the Settings, now to use BNGE, simply open it up and the lists should automatically load, you can modify the list by selecting on the tab and selecting on the wanted server, to add or remove servers, right click the server you want to remove or right click the list to add a server to the bottom, you can rearrange servers by dragging them in the list.
The starcraft preview is made by me and does not handle alignments yet, in an update or two it should, also the WC3 (Warcraft III) tab will not save correctly, although BNGE will read/write the list, Warcraft III itself does not want to read the list after BNGE saves the list, this cannot be fixed anytime soon unfortunately.
