Hi Cruise, no worries, and thanks for checking out our game!
To play Project Blue, you need an NES emulator. There are a ton of free emulators out there, on the PC I recommend Mesen,
This game comes as a ROM, you can open it inside Mesen, I hope that helps! (once you've got Mesen set up, you should be able to simply double click on the ROM file and it will launch inside Mesen, making it basically the same as an .exe in that regard).