You download it like any game on Itch, usually a .zip file that you have to unzip.
If the game has a native client on Linux, you should try that option first. If it only has a native client for Windows, then you need wine or proton. The problem is that many games need dependencies such as .NET and in those cases you need to configure wine with those dependencies.
Since each game is different, it is impossible to tell you a procedure, but if you search for the game or the engine that game uses plus wine, you will usually find information on how to configure wine.
It is important to note that not all Windows games can be run correctly in wine.