First, to explain the difference between the three:
Notepad is a text editor. If you download in Notepad format, the file will be called something.TXT and it will be just words, no colors or pictures. That means the file is smaller, it downloads faster, and there's no risk of viruses or other nasty stuff. If you download the TXT file, you can double-click it and Notepad will open the file.
Word files from this site are usually Rich Text Format. That includes the text (words), as well as colors and fonts and pictures, to make a more interesting document. If you downloaded it, and then tried to open it and it looked like garbage, then the file probably got corrupted and you'll want to download it again. The other possibility is that your Word program is an older version that doesn't understand the newer Word files.
Acrobat Reader uses the Portable Document Format (something.PDF). The document looks very good but it's actually a compressed picture, so you can't edit or otherwise change it, you can only look at it or print it. To get Acrobat Reader you can go to www.adobe.com and download it. The file is a couple of megabytes as I recall, so it could take several minutes to download. Then you can double-click the file to install it.
Now, to download: The other answers already submitted describe that, but I want to clarify some things.
When you click a link to download a file, the program should pop up a window which will ask what you want to do with thefile, whether to open it or save it to disk. Select the option Save to Disk.
Then a Save As window will ask where you want to save the file. The default is usually either C:/temp or C:/windows/temp, but you can browse around and put the file where you want. You can also change the name of the file. When the window shows the folder you want, click the Save button.
Finally, you can use Windows Explorer (or NT Explorer
