Indeed all needed files to install and execute Media Explorer are included within the zip. I did notice my link is not working correctly due to "\" in the URL. Let me clarify steps to grab this file.
Click this link
Navigate to Windows32 --> Media Management -->MediaExplorer
Right click MediaExplorer.zip then "Save target as" and drop it onto your server.
Once downloaded unzip the file and locate Setup.exe and install the program.
To execute media explorer drill down into the \CommVault\Simpana\Base directory and click MediaExplorer.exe to spawn the application.
Note: Medie Explorer must be running on a server that has the tape drive or magnetic disk you want to catalog.