Ok!... The download was successful and complete! What next?
Did you download it on your computer or your phone? If you downloaded it on your computer, you need to connect your phone to your computer via usb, mount it ask a disk drive, then copy the apk to the top level of your sdcard. If you downloaded it on your phone, it will in /sdcard/download. Either way, make sure you have checked the option to allow installation from uknown sources, then go find the apk using any file manager (Asto, Estrongs, etc.), then tap on it to install it. Once that is done, find SMS Backup & Restore in your app drawer, open it, and select the backup option. Of course, this is all only applicable if you've decided to do a factory reset, and want to keep you text messages.