In this video I start at the HuskyCT Institution Page and go through everything from downloading LockDown Browser, to installing it, to using it for an exam, to showing what it looks like if you try to use a different browser (a common mistake). I use Firefox on a Mac. Everything I say about Firefox applies to any other browser you might use (Chrome, Safari, etc.); basically you can use whatever browser you want to download the Installer program, but if you then try to use anything other than LockDown Browser to do the exam it's not gonna work.
Some details differ slightly on a Windows PC: For instance, the download procedure dialog box and its steps look different (the "InstallShield Wizard" I think); the Installer program that gets downloaded is a ".exe" file instead of ".pkg"; and I believe when you then run it the Installer program puts the app into the "Program Files" folder but also puts a shortcut / alias for LockDown Browser directly on your desktop for you to click on, instead of you having to find it in an Applications folder as on a Mac.