I'm having a little problem testing out some forum software on my site. I've got everything enabled as far as I'm aware and can get into MYSQL adminstration through the PHPmyadmin link from my account, however whenever I try to run the install.php script (or any PHP file in that site) I get a Find the appropriate program / save the file to disc option.
Sounds like you have uploaded it to your www webspace and not your ccgi webspace. PHP files only run on the ccgi server which is separate to your www webspace. See the cgi help pages for more details or the usertools tutorials.