Here is the mandatory Matrix screensaver. This gives generally the same effect as most of them, and although not exactly the same as the official version, it does have the advantage of being over 50 times smaller to download.
Update (2003-May-02). The latest build has been rewritten so the program takes no more than 100 MHz of CPU power while running (previous versions were CPU hogs). You may also set the resolution in a config file, although the default of 800x600 tends to be best.
Update (2003-Aug-24). I've now made a second version of this screensaver, which is larger and uses a bit more CPU power (more like 250MHz on the default settings) but looks a bit better - see second screenshot below. 2003-Aug-30, added a couple more options to the config file: you can change the types of character displayed and there is a 'phosphor dots' effect you can turn on and off.
Copy all files into your Windows folder to install.