Christmas release folding up all fixes from past few months. There are too many changes to highlight some, but everybody should upgrade.
You are downloading Gammu source code. To compile it you need some development environment for your platform and CMake tool to configure the sources. There are also some optional requirements for additional features which are listed in INSTALL file in sources. This file also contains more detailed instructions about compiling Gammu.
This source tarball contains Gammu command line utility, libGammu library and Gammu SMSD.
You are downloading Gammu binaries for Windows. The files are available as installer (.exe) or just an archive (.zip). The -Minimal variant has slighly less features compiled in and contains Gammu.dll, which you might use in external programs.
You might need to install Visual C++ Redistributable Packages to run Gammu.