This happens a lot I have noticed on desktop wallpapers. People sometimes upload the actual image file rather than putting it in a .Zip file first so that it actually downloads. If it comes up as the actual image when you click download, just right click on the image that comes up and use the Save as... function to save the image wherever you like on your hard drive. 
I just noticed though from your external link that you are indeed trying to download a screenshot as pointed out above. If you want to use the actual Windowblinds skin it is located here: https://www.wincustomize.com/explore/windowblinds/6580/ , but be aware that skin is designed for Windows XP and Vista only as far as I can tell.
