The broadcast block sends a message between blocks. Notice the difference between broadcast and broadcast and wait. Broadcast will send the message and immediately move to the next block (in this case say hello) . The Broadcast and wait will not move to the next block (say Hello) until the When I receive sequence has completed (in this case the bat sound has played entirely).
Download the program
To download the program right mouse click on the link and select either 'Save Link As' or 'Save Target As' from the menu. Find a location to save the program to on your computer. Open up Ohbot software and use Open to locate the file that you have downloaded.