The installation files for games are often in an archive format like ".ZIP" to reduce file size and make it easier for you to download the file from the game website. You won't be able to actually install your game until you "unzip" the file so that you can use the installation file inside. Use archive software to accomplish this.
Download archive software like WinRAR or WinZip. Click on "Download Now" on the program site to start the download. Open the installation file once it downloads.
Click "Next" through each part of installation until the program installs.
Double-click on your .ZIP file. if you've installed archive software, this program should automatically open the ZIP archive and "unzip" it. You should now see the files inside of your ZIP archive. One of them should be your installation file. It will likely be a .EXE.
Double-click on the installation file to begin installing your game.