Sure, download the patch, hopefully it will be in EXE format.
When downloading it be sure and save it on your harddrive in some place it will be easy to find.
Maybe create a folder in My documents and call it downloads. THen in this download folder create a folder called HOI2, save any patches or mods in this folder, that way they are easy to find.
Assuming it is EXE file, that is a file ending in .EXE, then you just go to the folder you saved it to. Then double click on the file to run it, it then installs the patch for you and you can then run the game.
If it is a .ZIP file or a .RAR file, then that means someone Compressed the .EXE file so that the file would be smaller to make it easier to Download. In this case you would need to uncompress or "Extract" the file before you could run it. If this is the case post back here and I will give you more help on how to do this.
