SQL Server Express Installation Not Working

Hi,
I have downloaded the installation file from Microsoft and run the installation. Now in my start menu I have the following item and sub menus:

Microsoft SQL Server 2008
> Configuration Tools
- SQL Server Configuration Manager
- SQL Server Error and Usage Reporting
- SQL Server Installation Center
> Import and Export Data (32bit)

I click on the 'SQL Server Installation Center' and when the window appears I select 'Installation' on the menu on the left hand side.

I click on 'New standalone installation...' and am asked to 'Browse for SQL server 2008 installation media'. I don't know what file I'm looking for or where to find it. :-( Please help?

What ever happened to clicking on install, and the program would install.... :(