I just downloaded this but it won't run on my ubuntu laptop. I double click the exe but nothing pops up

You don't run the .exe on Ubuntu. (Edit: unless you have Wine of course)

Open the folder in your terminal and execute the shell script!

Navigate to the game's folder in your terminal and type in:

./DDLC.sh

If you want this to be clickable like an .exe, follow this guide: https://askubuntu.com/questions/465531/how-to-make-a-shell-file-execute-by-doubl...

I ran it through the itch app, it worked that way

There's also a Lutris installer script for people who use Lutris: https://lutris.net/games/doki-doki-literature-club/