I am sorry if this is a dumb question, but my download shows up only as an internet explorer item that just opens it when I open the file, there isn't a zipped file. What am I doing incorrectly? 

Hello @breadbaby23
Do you have WinRar installed? This is needed to unpack the file.

1. Download and install https://www.win-rar.com

2. Right-click on the OhNoBugs.rar file and choose "Extract Here"

3. Double click on the OhNoBugs.exe to install the game