What to download?

Sorry if this is obvious, but do I need to also download ffmpeg.exe and Media Server? If so, where do those go? root or it's own folder.

Thank

If your hosting company allows it, it will be installed on your server, however if they don't than it will not be installed.

Your best bet is to contact your hosting company to see if they do offer it.
Some companies wont on a shared hosting plan but may on VPS or dedicated hosting.

I also believe on your plan will be an option to add media server hosting as well which in turn would be for RMS but not exacly sure as far as RMS goes.

If you have your own server, you'll have to install the ffmpeg application onto your server manualy.