Open the zip file, and select “Extract All”, select a folder of your choice (possibly on your Desktop). Now every time you want to open the game, you can open the folder from your Desktop.
If you want to have the game’s icon on your Desktop, then you need to drag-n-drop the game’s executable using the right mouse click, from the game’s folder, to the desktop. Once you lift it, select “Create shortcut here”. Now every time you execute the shortcut, it will run the game from it’s folder.
In case you are curious, the reason for this is, when you run the executable, it is looking for it’s asset files on the same folder, so you can’t just move the executable around without the rest of the files. Shortcuts are basically “pointers” to a file, they do not contain any game data, just where the game’s executable can be found, where the rest of the asset files also reside. It’s not possible for most games to detect those files if they are still inside a zip archive.
I hope that’s what you were asking, if not let me know.