PC (MAC? please chime in) download the file, put it in a folder, open the folder and it should have a sub folder called D800E. open that and you will see an object.
Prior to this, format a card, have a fully charged battery. Drag that object onto the empty card (in a card reader), insert that into the camera, turn it on and go to firmware version (wrench menu), that will have a set of commands, yes or no. Initiate that and allow the process to run it's course, a minute or two.
Turn off camera when completed and restart (screen has a progress bar on view), firmware version should be the new one.
IF the firmware settings do not show the yes and no commands, then you have copied the shell folder, only drag the object in the sub folder.
Painless, once it's running. I did the D7000, D3S and D800 last night, nothing too complicated.
If this does not download from the US, on page three of this forum (keeps dropping down) is a link to the Dutch site with the D800E link.