narutaki, if you will spend a second and click "[Read more...]" next to "PaintTool SAI English Pack 1.1.0 Full" on home page, you will see message: "This installer will install english pack, sai programm itself and necessary shortcuts." - yep, software included.
Blaze, real SAI (latest version from official site) is included into Full pack.
Because when I try to open mine it says something about Administrator needed or something like that
If you have Windows Vista or Windows 7, than:
1) Don't install SAI into Program Files. Install it into any other folder (D:\software, C:\software or something other)
2) Yep, when SAI starts first time, it need Admin rights. Right click on SAI executable, than click "Run as administrator"