Alright. I recommend you remove the Linux tag because Linux doesn't run EXE files and considering you don't know how to run it in Linux I suppose you just assume Linux users will do the same operation as windows users. It cannot be run in Linux.
Hi there fujirose!
Sorry for the late reply. Make sure you've downloaded the Linux version (0.2.1). The Linux version does not include a .exe file like you mentioned, and instead has a .x86_64 file. It's possible you downloaded the Windows version of the latest Dev Build (0.2.2).
Starting the .x86_64 file requires you to mark it as a program, and then run through the terminal. Depending on your distro this may look different, but this is what worked for me (Look for Kiri's answer):