Remember the provided archives are not a full game.
You still need a full Smokin'Guns 1.0 installation where to unzip the downloaded files.
To start playing with the beta test, you have 2 ways:
1. Full download:
* Get the full beta file
* Rename your v1.0 or previous binary to keep it as backup
* Unzip the full zip archive content in your Smokin' Guns folder
* Eventually get another binary engine from sparcdr site, for example if you want to run a MacOSX binary
* Choose your binary and have fun
2. Partial download:
* Get a binary from SourceForge site or sparcdr
* Rename your v1.0 or previous binary to keep it as backup
* Unzip the zip archive if you choose the SourceForge way
* Start the binary you choose
* In the client Options menu, activate the "autodownload" option
* Then join a beta server and you'll download automatically the needed PK3 files
Video Tutorial (Windows)
http://www.moddb.com/media/embed/472965
1.1b4 Tutorial video - Smokin' Guns Game - Mod DB
Edition: Added warning about SG 1.0 needed.
EDIT by Pardner: added video