The downloadable DrumSteps file (found here) is designed to be "double clickable" to facilitate ease of use on your computer. But this means that
a) you have to have the latest Java Runtime Environment installed on your computer
b) you have to install a small soundbank on your computer.
If you have the latest Java Runtime Environment (JRE) installed, you should be able to extract the zip file and then double click on the DrumSteps.jar file. If not you have the latest JRE (1.3+). You can download it from here. Run the setup.exe file and follow the onscreen instructions. To run it on Windows, you need is the Windows (U.S. English only) version. More detailed information on the JRE can be found here.
Next you have to go Java folder now installed on your system. This is usually at C:\Progam Files\Java and search through this until you find a folder called "lib". In this folder, if it does not already exist, create a new folder called "audio" (case sensitive) and put the following file in there: soundbank.gm
After this is done, you can extract the contents of DrumSteps.zip and you should be able to double click on the DrumSteps.jar file and run it.