If I'm not mistaken, on Mac you're supposed to mount the file you download which in turn will contain the .exe that you can double click. Are you doing this?
From my limited experience with Mac, when you double click a .dmg file it will mount it to your system automatically. If you open up the file explorer, you should be able to see it listed on the left hand side.
Maybe this could help you further: https://www.makeuseof.com/how-to-open-dmg-file-mac/