It is not that complicated.
You download the game in .zip (or also .rar) format and unzip it with WinRar.
Once unzipped, go to the folder and look for the .exe
You need to have WinRar installed to unzip .zip files and also .rar files
Once, you download the game: you will be downloading a .rar / .zip file
It is then that you will need to unzip it.
(RIGHT CLICK, EXTRACT HERE)
Once the game is extracted, you can play it
(Saiko Sutoka.exe)
Once you have opened the game, a tab like this will open
You can modify the resolution of the screen and the quality of the graphics.
Which I recommend if you want the game to do well, but if you don't know much about it: I recommend leaving the graphics quality at Medium or Low.