The .nzb file, is like a parts list for the file you really want.
You need to have access to a newsgroup server to get the parts. I use Astraweb, with the $10/month unlimited download. This gives you access to a server that has all the parts for all the files you will (pretty much) ever look for. Think of Astraweb as like the RLC, but useful.
I then use Newsbin Pro to get the parts and reassemble them for me. Newsbin Pro needs to know the address of the newsgroup you are using (such as ssl-eu.astraweb.com).
Once you have got your newsgroup and download program set up (you only need to do this the once), double clicking the nzb file should start it all up, and d/l the file to your chosen location