Are you on the right site for the version you're using?
This is the site for V8.5 and earlier - http://gadgets.vectric.com/V8/library.html
- this downloads as exe files.
This is the site for V9 - http://gadgets.vectric.com/
- this downloads as vgadget files which can be loaded from the gadgets menu or by double clicking.
Using the Edge browser in Windows 10 is not recommended (by me) as it doesn't download the vgadget files correct. I use Chrome and have no issues. I've just download the Circle Resize gadget and it download and installed as a vgadget file no problem.