Which client did you download from here?
Folding@home - Download the Folding@home software application
And since you don't know what you're really doing, I would suggest following the guides, according to the client you want to fold with:
Folding@home - Guide
I would also suggest folding with your graphic card, as Nvidia cards are very powerful for folding.
Here is where you can download the GPU clients:
Folding@home - DownloadWinOther
GPU client guide:
Folding@home - WinGPUGuide
Make sure you fold under our team name, which is 12864. And fold under your member name too.