Problem Installing Hjt

I downloaded the file shown in the white box on the HJT page http://www.tomcoyote.org/hijackthis/. When I try to install it, Windows opens a dialogue box asking what application I want to use to open this file. I thought that the program is self-extracting. Am I missing something?

In addition, if I unzip the file, and run the enclosed .exe file, I get version 1.98. I notice that the instructions on the website are for version 1.99. In the version that I open, the program lists a bunch of files on my computer, but there is no way to copy them or to create a log file from them.

Any help is much appreciated.

Try this one
here

Thats an exe file. Save it in My Documents or on C