'Download only the VA.exe file': the file you download in this case is the executable of VA, NOT the install program. Remember that in any case VA is a program 'standalone', fully contained in a single executable file without DLL (see next point). The setup file will create for you directory and link. exe file you have simply to execute it to install VA.
'Download a single setup file': it means that you download an install. A brief tutorial about the three different kind of download (if available):
