Huh? That’s weird, it should download to your computer as a zip file first. Then you should be able to take that zip file and install it in WordPress through your Plugins page. What type of computer are you using, Mac or PC?
That’s one way to do it, you can still upload/install this plugin by using the WordPress Plugin area by going to Plugins > Add New and then search for the plugin from your Plugins page instead. Just type in Genesis eNews Extended and it will show up. Click install, and then activate.