No matter what, you will be taken to this page. If this is your first time using Zoom, install the desktop client as prompted. If it's already installed, you may be prompted to go through the process again.
One way or another (depending on your operating system and browser), you will be asked to download the Zoom Client. Zoom is usually very good at figuring out how to install it on your computer. You may even miss what it is doing if it happens to fast.