I think you are wrong, that windows cant support this file message only appeared when you want to open a file and not downloading a file.
Make sure that you download the correct file, and then just extract the file which is in rar, open the .exe file and then there you go.
Ain't no way a windows operating system couldnt support .exe files while most of windows system are using .exe files to work. Please consider to do a research on google or even ask chatgpt before asking in here, hope it helps.