I have downloaded it but what do I do with it
That what you downloaded is actually an installer executable. Just double click it and it will launch. Then simply follow the on-screen instructions.
Normally it is an self-extracting archive and after extracting the installer should automatically run.
Apparently you have set up a different association for that file type, so it just runs your installed unzipper.
I’m not sure, extract everything yourself and have a look for a setup.exe (or even several). Double click those and let it run.
Do I need to download all of it?
When you click in Dorico Pro 3 you get a list of files to download in the right hand panel.
You want “Dorico Pro 3 sounds installer 9.25Gb”.
You don’t need to download the application again. You might want to download (and read!) other things like the Version History PDF but that isn’t relevant to fixing your problem.
I downloaded it and it doesn’t change anything
Again, that what you downloaded is an installer for the sound contents. So you need to double click it to run the installer.
(Or in your case, as explained before, unzip it and look for some setup.exe)
Okay, I found “setup.exe” and I installed it but still no sound…
I don’t know if it is normal but when I start a new project. The sonic Halion SE isn’t automatically there (I have to add it).
Under Edit > Preferences choose the Play tab. The first option there is for the default playback template. I guess it is set to “Silent” with you, simply change to “HSSE + HSO”. But this takes only effect from the next project you create. To fix the current project you need to go to Play Mode and then Play > Playback Template.
OMG, it’s working now! I have sound! Thank you so much for helping me 
You’re welcome. Took some time but I knew I would get you there 