Hi! Siren Head: Stranded doesn't really need to be installed, after the download is complete, you just unzip the file (right click, extract all). Then there's a .exe file called SirenHeadStranded that you just need to double click to play! If that doesn't work - it's possible that your download was corrupted. I'd recommend trying to download it again.
P.S. I also added some more detailed download instructions on the download page :)