All you need to install your e-Sword module is to enter your Email address and "Product Key" you received when you purchased the module. If you do not have that information, just click on the "Recover Product Key" button on the dialog that prompts for this information.
Updated to e-Sword 12 as these new resources are not compatible with the older versions of e-Sword.
Use the Download menu from *within* e-Sword. Check out the "Download" demo on the Training page.
If you are on a home network, then run the "Internet Options" applet in Control Panel. Click on the "Connections" tab, then click on the "LAN Settings" button. ONLY "Automatically detect settings" should be checked.
If you are on a work network, then select "Options, Proxy Settings" from the Downloader menu and enter your network requirements. (Your IT department will have that information.)
If you are still experiencing trouble, then it sounds like either an Internet filter or firewall (e.g. ZoneAlarm, etc.) is blocking e-Sword from accessing its server. You can temporarily disable these and see if that helps, and if so then you can add an exception for e-Sword to their settings.
You can delete a resource by selecting "Options, Resource Settings" from the e-Sword menu. Right-click over the resource you want to remove, then choose the "Delete" item from the popup menu. Confirm, and it is gone.
Check out the "Views" demo on the Training page.
Those are Bookmarks. Right-click on one to set it to the currently active verse; left-click on one to go to its reference.
Select "Options, Resource Settings" from the e-Sword menu. Copy the e-Sword modules from the "Resource Location" directory, and copy the contents from the "User Files Location" directory to get your personal notes and other customizations transferred.
You will still need to install e-Sword from its setup program to properly install the various system files, etc.