They provided an .exe download because you need to start the Upgrade install from the activated XP/Vista/RC environment. Just unzip the file and run the .exe to either do an in place Upgrade of Vista (reinstalls programs, settings and files), or a Custom clean install over the XP/Vista/RC.
There is a lot of misinformation floating around here right now that you can boot the Upgrade media and do a clean install that way. The confusion is because in XP you could boot from Upgrade and it would ask for your previous qualifying O.S. key. This has not been in effect since XP, and MS specifically foreclosed using the Vista "upgrade over upgrade" trick about six months ago, so there is no way to install from boot according to everything released so far including the Upgrade disk.