welcome!
default client - play button on webpage - you click it and
open autohaven(.jnlp)
with Java Web Start Launcher (it downloads necessary files and starts the client) - the main point why it's not that easy anymore are security measures Oracle had to do because of security flaws in the Java browser add ons ...
!check threads for Java Security Settings in Bugs Section at forums!
viewtopic.php?f=4&t=35081also there are different custom clients to be found in Wizards Tower Section (Ender, Xcom, Anemone, Union...)
be aware that the client is written in Java so that you can play on Windows, MacOsX and Linux machines and only need to have a Java runtime installed (think about you can't run an . exe nativly on Linux for example)
try again and have fun