By clicking on an underlined link, a popup-window will appear with information about the specific file. When you are about to download a file, just choose a server close to you in the dropdownlist and the download will start automatically.
The latest patch for Settlers 3 will automatically be downloaded and installed when connecting with an older version of the game to the mainserver. If you prefer to download and install the patches manually, download the appropriate one(s), and run them from your Settlers 3 directory.