How do I run the install wizard (85826-kdenlive_builder_wizard.kmdr)

no instructions with the file and I've never done stuff this way before.

This is a Kommander script that can be opened by running 'kmdr-executor 85826-kdenlive_builder_wizard.kmdr' from commandline. This will take you to a GUI where you can choose Kdenlive installation options.

Check http://kde-apps.org/content/show.php?content=85826 for instructions on what libraries/packages you need to have installed (if not already installed on your system) or find a nice howto for your distribution of choice.