Click the download link for your system, and use a program like 7-zip for free (or windows has a zip opener built in) to open the .zip file. Copy the contents to a their own folder somewhere and just double click the .exe on windows, the .sh file on Linux, and for Mac, I'm not sure since I've never really used one, but it might be the Road to Newtopia file in Road_To_Newtopia.app\Contents\MacOS