but I can't find a download option anywhere
I guess it's just a case of saving the image from within your browser. With XP/Firefox, it's simply a case of right clicking on the map that's been generated, then using "Save Image As ..." and save as the filename that the website has generated for you.
It'll probably save as gif - in which case you need to convert the gif file to a png or jpg file somehow. There should be a program called gif2png on your Z - it comes with qpeGPS, so you could copy the gif(s) to your Z and convert them to png there.
Then don't forget to add an entry in maps.txt - the website is very helpful with advice on that. Check out the online manual.
Ian