The GOG Galaxy client must be installed in order to use this option. You can download its installer under www.gog.com/galaxy, or by clicking “TRY GOG GALAXY” button, found above the standalone download options.
Once GOG Galaxy is installed, and you are logged in within in, click the LIBRARY tab, select your game and click the INSTALL button. The game’s files will be downloaded and installed automatically. Once this is done, click the PLAY button in order to launch the game.