I hear ya. I use OpenBSD for my computers and couldn't do anything with that self extracting .exe file, so I wrote them via their "contacts" page on their website and they emailed me back with a direct download link to their ftp site for a regular .zip file. For anyone who needs it, here it is:
ftp://80.247.183.35/JL04_v033g.zip
In my letter to them I did ask that they provide an option to download a regular .zip file from their firmware download page, but they had no response to that part of my letter. I hope more than just the two of us complain to them, otherwise they probably won't change anything.
Lance