Hey! No worries. The clear cube icon with the .exe will install the game on the computer (the bar that will appear is just it unpacking the game, not downloading anything). From there, if you click into the folder that it made, there will be a couple folders like Audio, Fonts, and System, and below that, a "Game.exe" (with likely a red dragon-ish icon next to it). If you give that a click, it should start up the actual game.
Let me know if that works or not or if you're still having trouble!