There is no install, you just unzip it and run the exe.
It sounds like you may not have a program to unzip it? 7zip and winzip are free to pick up and windows 10/11 should have one built in. You may have made IE the default application for zip files so that is why it is opening that way. You could try right clicking the zip and selecting "open with..." then pick your program, or "extract here" if that's an option.