From the website:
With the advent of the new Dashboard in the Macintosh operating system OS/X Tiger, we thought it would be fun to write a Sudoku Widget for our desktop.
Safari should install it correctly, but if you use another browser extract the package and just double click on SudokuFun.wdgt to add it to the dashboard.
This widget is only for Machintosh computers with version 10.4 of OS/X. There is no version for Windows, sorry.