Maybe you're asking about the the "LED Blink, Both Slow & Fast" ZIP file from
this page? Answering questions with more specific detail is difficult, but this is my best guess. Hopefully ok?
When you extract that ZIP file, it contains a file "blink_fast.ino". That is the source code. To use it, you must
install Arduino & Teensyduino. Code from Arduino uses the .ino extension.
After Arduino is installed, either double click that blink_fast.ino file, or run Arduino and use File > Open and select it. You will also need to select Teensy 2.0 from the Tools > Boards menu. Then click Verify to compile, or Upload to compile and actually program it to your board. Arduino takes care of causing Teensy Loader to automatically open the .HEX file it builds for you, as part of the Upload process.
Arduino also has a requirement to put your code into a folder of the same name, so when you open just a file like this, you'll get a message that it will create a folder for you. Just click ok. This is normal for Arduino, so don't be alarmed. It just means the file wasn't already in a folder, as Arduino needs.