Your first step in using AMPL/Gurobi link is to download the appropriate distribution for your platform:

amplgurobilink9.5.2_mswin64.zip: 64-bit Windows distribution
amplgurobilink9.5.2_linux64.tgz: 64-bit Linux distribution
amplgurobilink9.5.2_mac64.tgz: 64-bit macOS distribution

Extract the contents first. For Windows, extraction is done by unzipping the file. For Linux or Mac, it is done with the following command:

tar xvfz amplgurobilink9.5.2_{linux64, mac64}.tgz

After the contents are extracted, you should open doc/index.html and readme files, which provide instructions for activating license and competing installation, and user guide.