Go here:
http://download.piratesonline.com/en...PotC-setup.exe
Depending on your browser, you will get a dialog box asking you to run (or open) or save the file. Or not.
Select SAVE.
Once it's finished saving, find the PotC-setup.exe file you just downloaded, and run it. It will install the game.
Once it's installed, the VERY FIRST TIME you log in, it will download a bunch of other stuff. Once that's complete you should be able to play.