Hmmm, be careful with any scripts like this that ask you to download and install, they are very often stocked with spyware....we've seen some similar things pop up here in conversations on the forums and always end up advising removal. Not saying this one is, but just be careful...
There are loads of web based
SEO tools that are great for checking out what's going on on your site.
The fact that when I click the link it automatically wants to start a download makes me highly suspicious...fortunately, I have a block up.