You should not be having that much trouble. It downloads in a zipped file which you unzip inside your data/saved_games folder. When finished, you have another folder inside that one, named MLB07.lg. This appears the next time you start up OOTP and click Load Game.
I'm thinking that the problem could be the file compression program that you are using. These roster downloads contain thousands of files; the one that you are trying to use contains 18,440 files if it is the same as the one that I downloaded. Dealing with this many files inside the zip file can bog down the decompression process, maybe even stop it altogether.
I use WinZip 8.1 which I notice works a lot faster than the garbage decompression program that comes with Windows XP. If you think that might be your problem, you might want to try WinZip:
http://www.winzip.com/index.htm