The down load from Nikon for a windows PC will be something like F-D200-V201w.exe, actually it should be exactly like that! You need to save that file to a location where you can easily find it again. I use \Downloads\Nikon but your system may well be different, if it works for you, that is fine! Then you need to click or double click on the file and it will run, it will produce two files, the 'A' and the 'B' firmware. So if the download went to a folder called say Nikon that you created, the firmware produced by running the downloaded file will go to a further folder, something like Nikon\D200Update. This location will contain two files A2000201.bin and B2000201.bin. This process has expanded the single file into the two parts that you need to load into the camera.
Now to deal with your query about the 'root'. When you format the CF card in the D200 it will remove all files from the drive but will create a system on the drive that will allow the D200 to recognise and use the card. I do not have a D200 to hand, but after you switch off the camera, remove the card and insert it into a card reader the empty drive should look something like this when looked at in the computer, Removable disk (X: ) (note I have used 'X' in this example, but on my PC the card had the letter 'I:') with a single folder named something like NIKON001.DSC. This folder exists at the root level and is closest to the X: part shown after the legend Removable Disk. You need to copy the A2000201.bin file to the drive itself and check that it is the same size as the file shown on your hard drive and that it exists as the companion to the NIKON0001.DSC previously found. I have posted an image here in my gallery
These details on the card at this point are in the root area of the card's storage system, it is called the root as folders can 'branch' out from this level to create what is called a tree structure If you can successfully reach this point you are good to update your 'A' side Firmware. The process is the same for the 'B' side, but do remember to allow the first update time to complete, I suggest 30 seconds after everything appears to have completed and do format the card after updating the 'A' side. As set out before switch off the camera, remove the card, attach it to the PC and copy the 'B' file, this one came up to a size of 3,840KB on my machine. I hope that this will help you to fully understand the step by step process.