The Web Army Knife is an installed application.
It installs right from file that you download from the web server. When you first clicked to download the Web Army Knife, you were asked to download it to a specific location (typically this is your "Desktop" by default).
Look for the Web Army Knife icon right where you saved it (if you can't remember, just download it again from the link in the welcome email and take note of where you saved it to).
All you have to do is double click it to install it!