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Hi new to this do you need to download all the files or just the newest and do you have to do another to the zip file

Each zip file is a self-contained version of the tool so all you need is the newest one.  Create a directory without space names in the path and unzip the tool there.  Then fire up WinAGD.exe and you should be up and running.  The manual is in the Docs subdirectory and there is an example game project in the ExampleProjects directory