Can someone tell me how to properly download and set up the files. The instructions in the book are kind of confusing.

...what book?

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Read this if you want to know how to get a correct reply for your question:
http://www.catb.org/~esr/faqs/smart-questions.html
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Technical Editor for:
Professional Search Engine Optimization with ASP.NET
Professional IIS 7 and ASP.NET Integrated Programming
Wrox Blox: Introduction to Google Gears
Wrox Blox: Create Amazing Custom User Interfaces with WPF and .NET 3.0
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Beginning Asp.net 2.0

If you skip to the back of the book, Appendix B is completely dedicated to the setup of everything you need for this book from getting Visual Web Developer setup to actually getting the Wrox United Application setup and working.

Also, the forum dedicated to that book can be found here:

http://p2p.wrox.com/book-beginning-asp-net-2-0-book-vb-isbn-978-0-7645-8850-1-c-isbn-978-0-470-04258-8-228/

so if you have more questions aboutt he book please post them there.

================================================== =========
Read this if you want to know how to get a correct reply for your question:
http://www.catb.org/~esr/faqs/smart-questions.html
================================================== =========
Technical Editor for:
Professional Search Engine Optimization with ASP.NET
Professional IIS 7 and ASP.NET Integrated Programming
Wrox Blox: Introduction to Google Gears
Wrox Blox: Create Amazing Custom User Interfaces with WPF and .NET 3.0
================================================== =========