Once the user opens the files, they will be faced with a blank menu. The Creation Set after the selected files are loaded. From there, the Construction Set can be opened as an application. Once the files are downloaded, the user should extract the files into Morrowind's file dictionary. Note that Xbox users do not have access to download or use the Construction Set.
However, Steam users will need to download the program from another site, such as Nexus Mods. If the original disc purchase of Morrowind was made, then the Construction Set came with the installation, and doesn't need to be downloaded.