If you use Windows XP or 2000, make sure you're logged on in an account with Administrator privileges.
Which version of Windows do you use?
The s33053enx.exe file should unzip or self-extract to a file called SetupSG.exe (probably in a Temp folder).
Search for or Find the file SetupSG on your computer (include hidden files and folders in your search, or first enable Show All Files or Show hidden files and folders in Folder Options/View Options first before doing the search). When you find the file SetupSG.exe (or it may be shown as SetupSG only without .exe), double click it.
If you can't find it, double click s33053enx.exe again. If you're asked where to upzip to, leave it alone first, and go to C drive and create a new folder called ScanGear. Then go back to the unzip dialogue box, and type into the box C:\ScanGear and click Unzip. After that, go to the C:\ScanGear folder and double click SetupSG.exe.
If you do not get asked where to unzip to at all, then the file is self-extracting and should start the installation by itself. If nothing seems to happen, then the downloaded file may be corrupt. Delete it, download it again and retry.