Hi
Welcome to LINUX, the best solution after you have downloaded the file, which is an ISO file is burn the image to a CD.
Put this into a machine and boot, the Operating System will install and you will be asked to fill in some details.
Put the machine on the network, and connect to it and administrate as follows
https://your-machine-ip/server-manager.
The start to read the manuals and the wiki and the how-tos.
SME Server is a "Server" distro, if you are looking ot just get used to Linux and mess around a bit, I suggest downloading a "Live" distro that doesn't install to your Hard Drive, but runs from CD...something like Knoppix would be a good place to start
Cheers