Installing Manually via FTP
First go to the WordPress plugins repository at https://wordpress.org/plugins/ and search for Easy Digital Downloads. Then click on the Easy Digital Downloads link.
Then when you're on the Easy Digital Downloads page, click on the download link.
Once you have the zip file, open it (typically by double clicking it) and inside you'll file a folder called easy-digital-downloads. Use your favorite file transfer tool to copy that FOLDER (not merely its contents) to your server, and place it in /wp-content/plugins/
Then go to the plugins page in your WordPress site and you should see Easy Digital Downloads in the plugin list. Click the Activate link and you'll be ready to use the plugin.