Awww....  
 
In your case, since you have a fairly new distribution, I would recommend that you download the one that's called "i386-pc-linux-gnu-gnulibc2.1" .  Since you have an old Pentium, you won't be able to run the "i686" one.
When you download it, it will have a ".tar" extenstion.  If you go to a terminal, change to the directory where you downloaded it, and type:
tar -xvf i386-pc-linux-gnu-gnulibc2.1.tar
it should create a new directory with the same name as the file and will explode itself in that directory.
Then you can easily start it by typing:
  ./setiathome &  
Note that there is a "
." (period) there in front of the "/".  Also note the "&".  Putting that "&"  there will fork it into the background so you can actually just hit <enter> and get back to a prompt.
If you're sending the result to a proxy or to something like Setiqueue, use:
  ./setiathome -proxy <ip of proxy> &  
Hope this helps some? 
EDIT: to fix my bolds!