1. Download the file on this page marked for Windows. Currently, it's named UtB_win_v7.zip, but that might change in future versions.
2. After downloading, find the downloaded .zip file, and move that .zip file to wherever you want the game to be stored.
3. Once the .zip is located where you want it to be, you can "Right Click -> Extract All..." to extract the contents of the .zip file. A prompt will appear, but you can just press "Extract" to continue.
4. When extraction is completed, there will be a new folder in the same location as the .zip. Inside of that folder, you can run Under The Bridge.exe to start up the game!
These steps should be good for Windows 10. I hope this helps!