When plugging in the device, you may also see this window pop-up. The actual executable is located within the Dev Alpha device. To actually install though, you will need to connect to RIM's server.
The start installation screen is as far as you will get. If you do click 'Download and Install' you will be quickly denied and brought to a screen which gives you the option to 'try again,' 'install drivers only,' or 'cancel.'