I always like to download files to the desktop so they are easy to find and I can see what I need to do with them.  The file, DSK_Saxaphone, is archived as a zip file so the file must be decompressed.  Once it is decompressed you'll end up with a folder that has the same name as the file, DSK_Saxaphone.  Inside the folder is the saxaphone file which will have a name sort of like "DSK_Saxaphone.dll".  That's the file that is the saxaphone instrument.
 
So after you download the file, right click on the file and select the option that has the same name as the file.  You should see a folder get created.  Double lick on the folder and you'll see the file or files inside the folder.  One of the files should have a saxaphone related name and end with (.dll).  That is the saxaphone sound.  We'll comeback to this file in a moment.
 
Use your browser to find where your VST folder is located.  The default is as a Cakewalk sub folder.  Take a look at the screenshot a few postings before this one.
 
Copy the DSK_Saxaphone folder from wherever you put it (the desktop in my case) then paste it inside the VST sub folder.  You should end up with a path similar to C:/program files/Cakewalk/VST/DSK_Saxaphone.
 
Now rescan your VST folder as instructed above.
 
You should be able to use the Music Creator media browser to find the saxaphone sound.

Also.... if the VST is a third party it's possible that it will not run. In my time I had DL'd a few third party "free" synths that did not run.... or let's put it this way...I couldn't get them to run.
 
Another option that I found useful was to get the SFZ synth and look for a few sax samples on the "soundfont" format.  I used SFZ and fonts for quite some time with good success. I stopped using fonts and sfz because there were...if I recall correctly, two major formats of the fonts and unzipping them correctly was a PITA. They sounded good when it was done properly and they played flawlessly in my DAW.  (MC4 at the time)

Midi sax is hard to articulate properly so that it sounds natural and real. Especially if it's a solo.  THis is a song I composed back in 2009 which features a sax among other instruments..... it is a Real Track sax from PG music.  http://soundclick.com/share.cfm?id=8255563  It is how I do such kinds of tracks. Since I don't play horns, when I need one, PG to the rescue.