The Windows download includes a Java install and exe file. Grab the ZIP file for Windows here.
Mac OSX Version>
The Mac OSX downloads includes a Mac OS application. If you don't have Java installed it'll prompt you for it. Grab the ZIP file for MacOSX here.
Java Version Download (Linux/Windows/OSX)
Legends of Yore is available for stand alone use, grab the Java version zip file. You'll need Java installed locally for this to work.
Note that remote loading/saving won't work if you're behind a proxy right now.