It's an online game. Yes you download the interface but the game is on various servers. You create a person and then wander around and do stuff. It's meant to be a simulated world and life... it's not a game with levels and stuff. You can pick up free stuff around the world or build your own items, import textures, etc. There are different worlds that some people buy and build their own houses or clubs or anything they want. The game itself is free but you can use real money and earn real money to purchase stuff.
Second Life is an online virtual world game. It deals with a world where everybody you come into contact with is a real person and every place you visit is built by users like you. Its main platforms are Microsoft Windows, Linux and Mac OS X. go to http://secondlife.com/support/downloads/ for more details.