Hi, am new to this - I have purchased a game and would like to download it. Do I run or save the file
Welcome to the site. Assuming you are asking about the game's installers, best suggestion is to save the file (all parts of the installer, not just the first one), then run the .exe file to install your game. You may safely delete and/or backup the setup files once the installation is complete, since they should no longer be needed.
Enjoy your games :)