ok so I tried to make that clear by taking screenshots, but I don't understand your problem.
(btw sorry I'm French, and so are the language settings on my computer)
step one: download the right file (.zip and not .dmg)
step two: find the .zip file on your computer (for me, it's in Downloads)
step three: right click on the file, then choose "extract here"
(you need WinRAR to extract the .zip files. You can download WinRAR on the Internet)
step four: wait a bit (the extraction takes a little time), then open the BTS-all file that appears
step five: open the .exe file, the one with Jungkook's head as the icon
I mean, I guess that's not your exact problem, but can you be more precise? Downloading the game itself has not been a problem for anyone I believe........