Most of the games I installed come in .EXE file and the others are in .zip and it contains the .exe file and a file that doesn't react with the game.

It made me believe there's some kind of compression, reinforced by the low size of the games.

It would be helpful for me since the osts I make are in a filetype that takes a lot of space

What filetype would that be? WAV or FLAC, by any chance? Try OGG, though those can also be pretty large unless you turn down the quality. But many games may simply have little music, perhaps just a track or two.

I'm not sure what your question is. Developers can upload their games in whatever format they want. Rarely do people upload plain exe files since games typically need other files as well. ZIP is the most common.