Note:Due to an error in the production of the release candidates (2.6.2c1), the release candidates already used the version number of the final release in some places. As a consequence, upgrading the Windows installation from 2.6.2c1 to 2.6.2 (final) will fail. Users of 2.6.2c1 need to uninstall it manually before installing this release. Note:In the Windows installers, the index of the Windows help files does not work correctly. Users affected by this problem can replace Doc/python262.chm in their installation with the updated release of that file.
I’m guessing that you are on a computer with Windows.
If you have a 32 bit version of Windows, you get the Windows x86 installer. If you have a 64 bit version, you get the AMD64 installer. If you don’t know what you have, it is probably 32 bit.
The first note you can safely ignore (only interesting for cutting-edge users) and the second note isn’t very interesting for you either (unless you want to start learning python yourself).
blender will work without python, some scripts rely on external modules that come with python, so some scripts might not work. the built in blender functions will work fine though.