MSG Toolbox requires a Java virtual machine (JVM) to run. Please download a copy of Java, for instance Oracle's Java and install that first.
Download MSG Toolbox, then open the self-extracting archive and unzip it to a folder, e.g. c:\MSGToolbox. Then launch the .jar or .bat file there.
While the ancillary reference grids are included in the software installation, they may be updated separately in future and can thus be downloaded independently.
For more details, please consult the user manual.