You can download the screensaver from the link you gave. Just click where it says Download Screensaver. (see below)
Please note that the screensaver only works with iClone 1.0 projects so if you are running iClone 1.5 or above you won't be able to use your projects with it. The screensaver is no longer part of the iClone package.
Peter EdwardsCommunity Manager
iClone Daily Blog
I don't use them myself but if you do a search on Google for Screensaver Creators, there are many available. You can easily make a screensaver from a video so you would only need to render your iClone project to video first.