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Hello! I am having difficulty playing this game, am I missing something?

Which part of the game is giving you trouble? If it's the controls, you can drag a button from one control to the other to rebind it. This is the only way to beat each level after the first.

when I try to open the game, it just says to open a file, but whatever I select doesn't work

The download only contains a zip which contains bunny_labyrinth.exe and data.win. If you're using winrar to open zip files you can simply run it from there. If you're using windows explorer, right click the folder and select extract all. That will create a new folder with a playable version of the game.