alright, um ngl I tried to follow your steps but it did not work,I dowloaded it, extracted the file, double clicked and it wanted to extract again. I honestly have zero clue on how to download anything. So just try and explain it to someone like a two year old. :)
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Idk if this helps, but on Windows, you can do what the other person said, you can use an extractor. Either before or after the file has been extracted(I don't exactly remember) it'll probably ask you where you want to extract the file to, choose an easy place to access(idk make a new, specific folder in the Downloads folder or something), then go to that folder after the download has finished and run the application. It'll most likely be in .exe format, which is what you're looking for.
Now, if that seems to complicated for you then you can use the Itch desktop app. It runs similarly to the ones for Steam or Epic Games and it should run most games you download through it, without the added hassle of having to extract any files. You can download it on itch.io/app and it's free. It's essentially a launcher. Hope that helped.