Most Garmin GPS receivers will come with a MapSource product or Trip & Waypoint Manager installation CD/DVD. eg. Garmin GPSMap60CS comes with a MapSource Trip & Manager installation CD, GPS V comes with MapSource City Select.
But if yours does not come with one, you will have to buy one of the MapSource products like Trip & Waypoint Manager, City Select, City Navigator, MetroGuide, Blue Chart, World Map etc. For more information on MapSource products, please visit Garmin's Maps & Chart Products page.
Note: The Mapsource program that you downloaded from Garmin's download page is only an updater. It requires the original Mapsource program otherwise it will not run.
or
download Training Center for Windows which can be found under the Garmin Forerunner series, install it then download the MapSource updater and and run it to update Training Centre to MapSource.