When I install Plex and open it, I click on “More” then “Your Media” to add my files and when I click on “Your Media” Plex tells me to download Plex Media Server…When I re-download it, the same thing happens each time I try to add my files.
In order to complete the setup you need to open your Plex Media Server through its local IP.
If you’re on the same machine… open http://127.0.0.1:32400/web in your browser. If you’re on a different machine inside your home network, use http://[PMS IP address]:32400/web instead. This will bring up a wizard/dialog where you can name your server and link it to your Plex account (as well as creating your first libraries).
Once you “claimed” your server (=linked it to your Plex Media Account), you’ll also be able to access it from other Plex apps or via http://app.plex.tv/desktop.