the MS glossary are distributed as .exe self-extracting files, for example italian.exe for Italian glossaries.

Inside this single file are all the .csv the files plus 2 or 3 .txt collateral files (readme, list, etc...).

Just double click on exe file and it will uncompress. Alternatively click only once, wait for winzip to show the content and drag-and-drop them where you want.

Now you should have all your files, how to search inside them is another matter.

Hope it helps.