Uh.... it depends on the game? Many come in a .zip archive. You should be able to unpack it from the right-click menu, or else double-click to open, then copy the files to an ordinary directory. Once the game is unpacked, look for an .exe file to run.
That seems to be the most common case on Itch. Sometimes you'll get an .exe file directly, so just run it. Some of them are installers: they'll ask you a few questions and install the game properly, so you can run it from the desktop or start menu. And sometimes they come in a .rar archive instead. For those you need a shareware application called WinRar. (We keep telling people not to use that format.) Other cases are more unusual. Link to specific examples.
By the way: I'm not sure where Windows saves files by default these days, but web browsers can open recently downloaded files for you, and also open the directory where you saved them. Hope this helps!