I have downloaded the game (on windows) but how do I open it?
Extract all of the zip file's contents somewhere and then double-click on 'I am the captain.exe' (the one with the icon).
Windows has the somewhat odd behavior of displaying a preview of the zip's contents if you double-click on it. You can drag those files out of there and into a folder of your choice, or you can just right click the file and select "Extract All..." instead.