DOWNLOAD the hsqldb.zip file from the download page to your local computer.
Expand the .zip using any program that can HANDLE zip files. The JDK includes the command LINE tool jar. Open a command prompt, change to the directory where the file hsqldb.zip is, and TYPE: jar -xf hsqldb.zip
You need a Java Runtime Environment (JRE) or Java Development Kit (JDK) to run HSQLDB.
Browse the documentation included in the zip package. START with 'index.html'.