When you downloaded it, how did you try to open it?
Once it's downloaded, if you long press on the home screen click add shortcut. Select apn settings. It should bring up a black screen that will flash and then you should see an apn icon on the home screen.
Click that, and from there you should be able to apply the fix.
Edit: just tested with cm9 and it works. Should be the same for cm10 if you follow these instructions
With CM10, the widgets are all listed in the app drawer. Despite that though, it wont let me put the widget on the homescreen at all.