Sorry for the confusion!
Once you have downloaded the game save it to your desktop or somewhere other than the temporary folder created for downloads.
Right-click on the .zip file to extract the game.
Inside you should find a .exe file for the game. It is *very* poorly named at the moment. I'm planning to change the naming for future builds. :)
In all of the builds to date it is called "Default Windows desktop 64-bit.exe" for Windows.
By any chance did you extract the .zip file to the existing downloads folder? If so Windows 10 will strip out the .exe files for security reasons. You have to move it to a different folder on your computer. Your Desktop is handy for this, but any other folder will do just as well.
