sorry for delay with answer. there are 2 different downloads. full zip archive. this file only needs to be unzipped somewhere you like and after unzip you just need to start exe file in a folder where you unzipped.
in case you`ve downloaded Qt Rexuiz Launcher its the only one executable file which only asks you where to download other game data. and you can use this launcher for future game starts. so which one you`d downloaded? Also you can try to use Administrator rights to delete file. Also its possible what you have hdd/ssd error right in sectors where file downloaded and this may be fixed with different hdd/ssd checking tools