You need to save it to disk, not run it! You can't install the nvidia drivers while your xserver's running!
If you have an older card, make sure you skim through the appendices in the README file to make sure your card's supported by that build before you download.
Once it's downloaded, follow mi6's advice, except you should run "sh Nvidiablahblahblah"
If it won't install for some reason, post the error messages and we'll help you figure it out.
Do some research before you change your kernel headers. Changing your headers can break your system.