The download is merely the prelude to the initialization. Once the JAR resides on the local disk, it must be executed. This is a unique characteristic of the AEM JAR; double-clicking the file or running it via command line triggers a cascade of activity. The JAR unpacks itself, installs the CRX repository, launches the OSGi container, and boots the application server.
You might see blog posts, GitHub repos, or file-sharing links offering the AEM JAR for free. aem jar download