I think I know what you are doing wrong, see if I can explain it easily.

1. You downloaded the zip sgs zip file and you unzip it on your computer desktop to easily find it.

2. you unzip it and it creates a folder with more folders in it. If you open this folder there are several other folders inside of that such as (_cache, _custom, _data, _include, admin, docs, and more). Also besides the folders there are some files inside.

3. These are all the files you need to upload to your host "root" directory. Upload all those folders and files into the directory called "public_html". To explain, "public_html" is your web's main directory so what is inside is what the world can see. So if anyone goes to "yourdomain.com" they see the index file.

4. After uploading everything, now you can type into your browser "yourdomain.com/install.php" that will walk you through the install. any reference made to an install.exe is actually referring to install.php. After you've done everything it will tell you to change permissions to a file back to a more secure setting and to delete the install.php file. This is important to do right away to secure your site. Also write down your user ID and password somewhere safe.

5. After install, you just type into your browser "yourdomain.com/admin/" which will open your admin control panel to begin setting up your site.

I hope this has helped, just make sure those files were installed into public_html folder like I said and not left inside the folder they came in.