Jacques explained it very well, but I will have another go.
To downlod these files you need a Torrent client, I use Azureus, which you can get from here (this also requires Java):
Once you have Azureus and Java installed then go to the PureTnA site and find the download you want.
Click on the "torrent" file (filename followed by torrent extension) and save it to your hard disk (I usually put all my torrent files in one directory).
This is a very small file which downloads in seconds. It tells Azureus what file you want to download.
Open the torrent file and that should automatically open Azureus. Click on OK in Azureus and the file should appear in the top half of the screen. It will then start downloading.
It downloads parts of the file from the original poster, plus anyone else who is or has downloaded it (including you). So note you are also an UPLOADER as well as a downloader.
When it has finished it will move it to the bottom half of the screen and you can now view it.
Note it can take HOURS to download a large file, sometimes I leave it on all night. You can cancel a download if it is taking too long.
With Azureus you can download 3 or 4 things at once, although it can slow down a bit when you get too many going.