Joomla isn't going to be just an install link. You have to upload the files and then install them (and create a MySQL database for it). It's the same for pretty much any CMS.
I've heard some people like Joomla, then there's Mambo Open Source and a whole bunch of others. They're all pretty much the same install. If your hosting account has Fantastico or Installatron, you can install them with a couple of clicks and they might have other CMS options.