Your first step in using AMPL/Gurobi link is to download the appropriate distribution for your platform: 64-bit Windows distribution
amplgurobilink8.1.1_linux64.tgz: 64-bit Linux distribution
amplgurobilink8.1.1.pkg: 64-bit Mac OS X distribution
amplgurobilink8.1.1_power64.tgz: 64-bit AIX distribution

Extract the contents first. For Windows, extraction is done by unzipping the file. For Linux, it is done with the following command:

tar xvfz amplgurobilink8.1.1_linux64.tgz

For Mac OS X, simply double-click on the installer file. This will install the files into /Library/amplgurobi811 and create links in /usr/local/bin.

After the contents are extracted, you should open doc/index.html and readme files, which provide instructions for activating license and completing installation, and user guide.