Hi Jan,
Sorry it is not more clearly stated - Mac users can use any version, accept the two at the top that start with "Windows". Since you are running Illustrator we can narrow it down to the 3rd and 4th options. It sounds like you already chose the 3rd one - "Full Version 5.1 in AI format (.zip archive)". This will work perfectly for you - you can simply ignore the .exe - it is just the flash tutorial.
The libraries are provided in a special format that means they cannot simply be opened, but must first be copied to a special folder within Illustrator and then accessed via the Symbol palettes. Please read the Documentation tab on our symbols page - particularly the section on the Zip versions) and let me know if you need further assistance.
Cheers,
Adrian