Everyone has their favourite torrent program. My personal favourite is uTorrent. It's incredibly easy to use. Download it and run it. This will then associate .torrent files to uTorrent. Then, when you come across a file you'd like to download it, click on the download link. When Firefox (you are using Firefox, the greatest browser on the planet for the PC platform right? If not, IE works too
) asks you what you'd like to do with this file, click on "Open using uTorrent" or "Run this file" or "Open this file" whatever option that isn't "Save this file to disk". This will launch uTorrent and it will prompt you (at least it should, you may need to adjust the options page for this) where to save the file. Then away it goes. Depending on the file, the number of seeders, and your ISP, the speed you get may vary. Many ISPs are throttling the speeds of the ports that torrents normally use. One of the ways around this (thanks Mayhem!) is to choose the "protocol encryption" option. This will sometimes make the ISPs think that it isn't really a torrent file.
Another great site for poker torrents: