Where can you download the software that allows you to write documents (such as the following: http://www.math.toronto.edu/lshorser/MathStyleGuide.pdf) in LaTex?

When I click on "proTeXt" on the page Obtaining LaTeX, I get directed to proTeXt - a TeX distribution for Windows, and when I click on "download the self-extracting protext.exe file" on that page, I get directed to a random page such as Index of /systems/windows/protext/. What confuses me is that on this page, I'm presented with three files: two 1.1G and one 0.1K. Do I have to download just one of these files or do I have to download them all? Will these files alone allow me to write documents in LaTex, or will I need to download something else?

for windows try miktex. it is more up to date and has installer and portable.
MiKTeX Project Page