Update Notification plugin for WP

Hi there -

I have this message on my WP dashboard"Please install the latest version of our free Update Notifications plugin which helps you stay up-to-date with the most stable, secure versions of WPMU DEV themes and plugins. "
So I sign in to WPMUDEV and I've downloaded it onto my desktop. But...I guess thats not the right way. Nothing changes in my WP dashboard. And I use Bluehost. Please let me know what I should be doing. Thank you!
Joanna