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I usually have it set up like this.
On the drive I have the the most space free, I set up a folder called Downloads, then I make sub folders in that folder, one Called "games" one called "utilities" and any other catagory that helps you organize the downloads.
Then create a HOI2 folder in Downloads/Games/
Then save the Patch to that folder.
 
1.3a is a program that you must run by double clicking on it.
Just browse to the folder you downloaded it in and double click on the Icon, it will then install itself.
1.3B is a compressed set of filesin a format called "rar" that you need to extract(uncompress) "unrar". You need athird party program to do that like winrar that I use.
You can get it for free from a site like tucows.

You need to install 1.3a before 1.3b, which is just an AI update.
 
Well lets get 1.3a installed first that is the main one and the easiest.