A full, pedantic session that assumes the .zip went into Downloads as it should:
cd Downloads
mkdir helltaker
mv helltaker_lnx.zip helltaker
cd helltaker
unzip helltaker_lnx.zip
chmod +x helltaker_lnx.x86_64
./helltaker_lnx.x86_64
Don't rename the executable if you want to run ./hltkr or something rather than the original executable. Doesn't work. Instead:
ln -s helltaker_lnx.86_64 hltkr
./hltkr