Stepmania download help

[furslide4itg]

Ahh this is so frickin confusing.
I'm using windows and im trying to download songs to stepmania.
I download them then after that something pops up that says:

You have chosen to install the Stepmania package:

C:\DOCUME~1\Family\LOCALS~1\Temp\910694041Nohdin.zip

This package contains the following files:
(blah, blah,blah)
The package will be installed in the following Stepmania program folder:

But it wont let me choose a stepmania program folder.
Its just blank.