I cant download it. Maybe check and make sure the link is correct?
Basic advice I can give you though: Dont give up, dont let losses discourage you, no matter how many. The thing to remember with fighting games is that every match , SOMEBODY looses.
Pick a game that you really want to learn (preferably one that a lot of people play, so that you have human competition) and pick a character that you want to learn. Sometimes (actually most of the time in my case) your first choice will not be the character you stick with, so dont worry too much about that, just try all the characters out a little, see who best fits your style (youll know what I mean when you find that character). Read up on your character. This site has some good info on characters in the more popular games, gamefaqs.com has info on pretty much every character from every game (although their SF2 strategy is lacking in my opinion).
Above all have fun, the fighting game scene is competitive, very much so, thats the nature of the beast…but it is just a game. Thats somthing a lot of people tend to forget (myself included from time to time). Just practice when you can, and dont be afraid to change your style to fit your competition (your style should be changing constantly as you learn more and adapt to the tactics of your competitors).
Just keep at it. Getting good at fighting games is a lot more difficult than getting good at some other kinds of games.