Downloading a file does not automatically run it!
No one is telling you to copy-paste the command to download and run the installer in one (which is below the button we are telling you to click). We are telling you to click the link to download the file or right-click and copy the link and use your favorite download command to download it to your server (wget or curl -O). That link is the big button that says “Download Virtualmin GPL”. That is a direct link to the install script that you can download.
For example:
wget https://software.virtualmin.com/gpl/scripts/virtualmin-install.sh
Then run it:
/bin/sh ./virtualmin-install.sh --help