How do I install Widgets?

I’m used to installing normal software apps, and use CPU/HD SMART temperature monitoring software. For giggles, I just downloaded a speedfan temperature monitoring “widget” from
[http://software.techrepublic.com.com/download.aspx?&q=speedfan&docid=326694]
Instead of the “normal” 3-char extension, the extension is literally .widget and WinXP says it doesn’t recognize. Googled the term and find possible ties to Yahoo! I refuse to entangle my PC with Yahoo if it means installing their toolbar and playing their 3rd party datamining games! Clarification, please?
Kimi