Do i play it from the website. So what should i do

Well.. there should be no reason why the game shouldn't work if you downloaded all the files to the same directory..

It's always adviced that you create a new folder, name it SFO or something crappy. :biggrin:
Go to http://streetfighteronline.com/download.htm and download all the files, save them to that folder that you created and then install the game.
Even if you don't create a new folder... make sure all the files are in the same directory. There should be no problem after this..
If it still worries you, you can as well play the online version by clicking start and mirror1 :biggrin:
There shouldn't be any problem with that.