Do you trust they.com? If you are getting your hosting or email from us, you either should, or you should find another host.
There are several versions available; most folks will find the PEM-encoded certificate to be the easiest to install — simply open the downloaded file (if it doesn’t open automatically), and go through the installation process using the defaults. If you are given a choice to check the boxes for trusting web sites or email, please check those if they aren’t checked.
Folks running IE may attempt a simpler installation process — but it often doesn’t work well, so try the steps in the previous paragraph should that not work. Sometimes windows prefers the P7B-encoded certificate.
Our policy is to only generate certificates for internal use, or for specific external applications which require either strong encryption or strong authentication.