You can download your CS4 installer from
Download Adobe Creative Suite 4 (CS4) products
You must download the correct installer for your serial number. If your serial number is for InDesign CS4 standalone then you must download that installer- not a Suite.
In the case of Windows, you must download two files separately: File 1 (a .7z file) and File 2 (a .exe) file.
I suspect you've only downloaded File 1 and Windows is unable to unpack the .7z file without a separate app - hence the message you saw.
Once you've downloaded both Files, double click the .exe file and follow the prompts. It will automatically use the .7z file during installation. You'll be asked to enter your serial number to complete the installation so have that handy.