There should be instructions on the download page, but I'll copy and paste them:
TO INSTALL:
1. Download "Odyssey of Gianna Venture Forth.rar."
2. Use an archive manager program, such as WinRar to extract the files.
3. Extract to the "Odyssey of Gianna" folder. When asked to overwrite files, say YES to all of them.
4. Run "Odyssey of Gianna Launcher.exe" from that folder.
If the installation was successful, the title screen should have a new design and the game's window name should say "Odyssey of Gianna: Venture Forth" plus the version number and a letter representing your chosen difficulty setting. (It may show an incorrect name for a moment; wait and it should correct itself.)