From your description it isn't clear if you cannot download the .exe file or that it doesn't start after download.
Which version are you downloading? It depends on the controller it is/was bundle with, so we don't know...
There might be a chance you downloaded the wrong version (MAC<>WIN).
I suggest you retry to download and....
After having typed this I checked and noticed you haven't registered your license key in your user profile.
So likely you downloaded Cross Demo or Cross Free. Both being other programs...
So please register and after this check the downloads section again... you should have more options now.