Filezilla: Do I download linux or windows version?

I'm building my website and my host is through godaddy.com.
I'm using Filezilla.com to transfer my files to godaddy.com's server.

On Filezilla.com, it says:

Please select the file appropriate for your platform below:

Windows:
FileZilla_3.2.4.1_win32-setup.exe (recommended)
Windows XP and Vista are supported

or..

Linux:
FileZilla_3.2.4.1_i586-linux-gnu.tar.bz2

Which do I download?

Thanks a lot for helping.
So this has to do with my Operating System?

I thought because godaddy.com runs linux as their server, I should download linux.

Uh....Do you run Linux? If not, then you have your answer!

chichawatni hayat Abad Part 1.mp4


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