Follow these steps, you should be just fine.
1. Download Arena 1.1 Setup 1 (2.42 MB) from this link- http://www.playwitharena.com/?Download:Arena_1.1
2. Once downloaded, click "run", click "next" ,"ja" for everything else and install it a directory of your choice.
3.After that, open the GUI (Arena 1.1 is a GUI), you should see a chess board now.
4.On top, you will see File, PGN, EPD.....Engines
5.Click on "Engines" and select "new engine". Stockfish is a UCI compatible engine, so select UCI.
6.Now choose the stockfish.exe file that you've downloaded and click Ok.
7. Click on "File" ->"New" to start a new game against Stockfish.
I've explained all the steps in the most elementary level possible. Hope this helps.
I have downloaded stockfish 6 chess engine. Can anybody tell me which software programs do I need to use it ?