Hey! I think you are talking about unzipping the folder from the download and if so, here are some instructions on it!
Windows:
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Right-click the downloaded .zip folder.
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Select "Extract All..."
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Choose a destination and click "Extract."
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Open the extracted folder and run the game.
If you are not talking about this I am sorry and let me know, but there shouldn't be any other time it asks you to extract anything. Thanks!