Once you've finished downloading the game, as shown in the image provided by the person/dev above, click on the downloaded file (go to downloads). Right-click on it and select the "Extract to..." option. If you're using Windows 11, right-click on the file, click "Show more options," and then select "Extract to..."
--Do not click the "Cancel" button, as this may prevent some files from extracting properly, and you may not be able to play the game. (Many people have actually done this, and this is why they see a 'dll missing' error message when they try to play the game.)