Are you on mac or windows?
Either way you should have a zip file, that when you extract it it contains a program (app for mac, .exe for windows) that you can click to run.
That is definitely a windows computer, then.
You should download the windows file from the download page of the game, and then right-click and pick an option like “extract”, and then double-click the application inside the extracted folder.
Can you send a screenshot or something?
Your browser might be auto-extracting, which means you would just double-click the thing instead. I’m not sure without being able to see it.
Er, okay, that is not the VN app. There should have been another file in that same directory that is an actually executable application. If there’s not, then it’s very likely your virus protection killed it, and you’ll need to go tell it not to. (Or just turn it off temporarily.)
wait, I got it. I just had to make it smaller