First, please see these instructions regarding unzipping your download.
To add music to iTunes, just launch iTunes and choose File > Add To Library. Or, drag and drop the audio files into your "Library" within iTunes.
To add music to Windows Media Player, select the audio files, then right click them and choose "Add to Windows Media Player List." Or, drag and drop the audio files onto the Windows Media Player window (if that doesn't work, try the drag/drop operation again, but make sure the Library tab is active in Windows Media Player first).