The zipper is just a compressed Windows file. The download file is compressed so that it's a smaller file to download. There isn't a Linux version and a Windows version separate. It should be one download that just works on each because that's the way Renpy (the coding program) exports the game files.
All you have to do is extract the file. If you're in Windows, you should be able to just right-click on the zipper and "extract all" to wherever you want it. Then wait a sec while it unpacks it then the game should be in that new place. After it's working, you can just delete the zipper