Pressing the "Download" button will send a .tar file to your machine. The .tar file is not compressed because the images already are. You will need tar to decompress the archive. Any additional information (such as ground truth) will be included in the archive.
Note - the resulting file will be called 'maketar.pl'. Just rename it when you download it and extract it.
Finally, it can take a bit of time to tar up everything for download. Don't quit because it doesn't immediately return.