The files are in a compressed archive format (.tar.bz2). It's like ZIP, only better. Linux and OS X should have native support for it (just right click and select "Extract Here" or something like that).
If your using Microsoft Windows, you might need some software. I've found 7-zip the nicest to use. It's also small, quick, and completely free.
When you extract it, there's one folder in there called "yui_menu" drop that in the blocks directory.
One last note. Make sure you have version 0.3. Chris Bandy just informed me that I accidentally linked to and old version in Moodle's plugin database.
Blocks
YUI Menu installation
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