Hi Mathias.
In answer to your questions.
1. I guess this depends on your browser but in Internet Explorer, right click on the link and select Save Target As and click the save button on the box that appears after choosing a destination.Probably best to rename the file rather than have that multi digit number at the front of it.
When you've done that,copy the file to your main Hal folder which by default is C:\Program Files\zabaware\Ultra Hal Assistant 6
Then start Hal,Select General Options from the Right Click menu on the Hal icon in the system tray down by the clock,then select Brain from the menu that has appeared,select the brain you are using and all the plugins including this one should be in the right hand window.Make sure there's a tick next to the Loneliness one,click ok and it should now work.There are a couple of options to change for patience and frustration if you want to as well.Sometimes after setting up a plugin it's best to exit Hal and restart but they usually work straight away.
2. To back up all the stuff you've taught Hal, all you need to do is copy the Halbrain.db file from the Hal folder.Then if you need to reinstall,just copy it back and let it overwrite the original.If you've created or use any plugins,skins,backgrounds or anything that wasn't part of the original install,you'll need to save them and if you're using a custom brain,you should copy that as well.
3.Think there's a workaround for Vista somewhere on the forum and the new updates should have it fixed anyway.
Hope this helps.