AceSEF is easily installed as any Joomla component. That should be done through your site's backend.
Once you log in, you should open the Extensions => Install/Unistall section and click on the [Browse..] button in the Upload Package File section. Navigate to the same AceSEF file you have downloaded earlier and select it. Then click on the [Upload File & Install] button to start the installation.
At the end you will be redirected to AceSEF Control Panel and see a notification that AceSEF was successfully installed.