First, download the file and put it somewhere on your drive. It's a TAR file (an archive) and you'll use it directly when loading. Remember where it is (maybe drop it in C:\temp if you're on windows).
To load this up, do this:
createdb dvdrental
This will create the sample DB. Then, you'll need to run pg_restore. If you're on windows this is in C:\>cd C:\Program Files\PostgreSQL\9.3\bin (make sure your version is correct).
If the bin is in your path, you should be able to run pg_restor straight away.
Now, run it:
pg_restore -d dvdrental C:\temp\dvdrental.tar
That's it - you should be good to go.