to install just a winrar file
Files downloaded from this site are .ZIP files, not winrar.
So the file you should downloaded is this one:
Harem Hotel v0.19.1 PC/Android
It is indeed installed by unpacking to a directory.
Are you running Windows? I do not use Windows myself, but I remember discussions about malware protection that prevents running programs from directory not under C:/Program Files . So try making HH directory under C:/Program Files or C:/Program Files (x86) .
I am a bit surprised there is no message or error popup when trying to start the .exe. Maybe antivirus must allow the file to exexute ?