When you download the game you have to unzip it using WinRAR or a similar program. In the folder XOXO Droplets folder there should then be an application file, clicking that will launch the game. If the application file isn't there a few things could've gone wrong; the file wasn't unzipped fully/something went wrong in the unzipping process, the download didn't go through properly in the first place, or maybe you accidentally downloaded the Mac build instead of the Windows/Linux build. I'm not sure specifically what could have happened for you, but hopefully that gives you a place to start. Good luck!