edit: I'm back.....I set that to copy the SH program folder to the C:\ root. Download that file and go to the download and double-click it. Then click "Unzip" and when it finishes click "OK" then click "Close". Go to the root of the C: drive and open the folder named SleepyHead-0.9.8-1-Windows-32bit and double-click on "SleepyHead-OpenGL.exe". The SleepyHead program should open and advise you where it will store the data files. If you don't like the default location, you can change it to wherever you prefer. You can delete the download when you finish the operation and things work as planned.
If that fails to correct your problem, post back the exact error message you get.