To install FOSE, please start by installing http://www.7-zip.org/ so you can open the compressed file you downloaded. In the archive, there is a file called "fose_readme.txt" which explains how to install FOSE. Note that FOSE is different from most other mods and needs to be installed in a different manner.
I made a tutorial on how to use FOMM to install mods http://zumbs.wordpress.com/2009/11/08/fomm-and-fomods-for-dummies-1/. Please review it and see if it clears up your questions on installing FWE. If it does not, please try to be specific on what fails.