EZdrummer is a plugin instrument that does not function as a stand alone application. It instead requires a compatible host application called sequencer and is launched from within this application, as per instruction manual provided with the latter.
In you do not currently own a sequencer, popular choices are Apple GarageBand (Mac only) which ships with every machine purchased from Apple (or can be purchased at a low price) and Sony Acid Music Studio (PC only).
Many other alternatives, on both platforms, exist and we greatly recommend you research your purchase independently from your needs in the strict context of hosting EZdrummer. A list of supported and compatible applications can be found in this FAQ.
If you are using ProTools, be aware that the first print run of EZdrummer did not contain the required format in the box. You should download the latest update from the support portal http://www.ezdrummer.com/support/ by creating an account and accessing the Download tab.