I'll try again and see if I can do it. Thanks
For others having this issue:
On the newest Windows, you can just open the file after it is downloaded. When you have the file open, there will be an option that says "Extract all"
Select that option and it will automatically open a prompt selecting the destination. By default, it should redirect back to your "Downloads" folder under the exact same name as the file you downloaded from here. Once the extraction is complete, you will be able to access the game via the new folder created in your Downloads.
Way faster than doing it one thing at a time.