Once you download the game, you need to unzip the file. Windows will let you do this by right-clicking the file (use the mouse button on the right side). This will open a little menu under your mouse. Select "extract all...", which will open another menu, go ahead and just hit enter or click on "extract". Once the operation is done, you'll have a new folder where you extracted it (the default location is wherever you downloaded the .zip file). You can now go into that file and double click on "La madriguera.exe" and play the game.