When you click the Download button under step 2, a .zip file named "start_indesign_create-brochure.zip" containing all of the assets to make the brochure will be downloaded to the location you specify on your computer. Go to the location you specified. Locate the start_indesign_create-brochure.zip file. Double click that file to unzip it. You should now have a regualar folder containing the assets.
I hope that helps. Please feel free to ask more questions if you are still experiencing problems.