The courses are compressed - in other words, there is a ZIP package (in modern Windows parlance, a "compressed folder") containing the PDF file, which in turn is the course.
At least the Sindarin package is .gz (i.e. it's made with GZip), the default Windows compressed folder wizard might not be able to deal with it, but any real program (such as WinRAR
will be able to deal with it easily. (As a note, WinRAR is shareware, but doesn't stop working even after the trial period.)
And yes, the course is rather long as I mentioned earlier so it is rather preferable to have the resource readily on your computer. Depending on your access to printers, it can be also nice to print it or parts of it, though the electronic format is nice too as you can use the search. (Unless it is strictly your printer - say, you'd use a school's printer - might be wise to first check if it's okay to print long documents, or even ask and figure out how to print multiple pages per sheet, on both sides or so on.)
As a note, the language used on the course is the same as used by linguists: If you are not familiar with this, it is the same you'd encounter while learning any language. I can't say for sure but I'd assume that it can be easier to understand the course if you already know at least one foreign language and thus are familiar with the terminology. I am distantly remembering things from school, we did have some of those terms on my native language's grammar courses, but I do still remember those better from the courses of foreign languages I had later. Not that I'd remember the said foreign languages themselves, though. (Except English.)