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You just have to unpack the zip file in the folder you want, there is no need for a tutorial, and no, no virus attached.

@Sotaknuck Ok colegamigo, thank you. And I have a question, how do you make these amazing fangames? With Sonic Worlds Engine?

Yes, I used version 1.5.1 and built upon it. If you're starting from scratch there is 1.5.2 out and other engines based on it as well.

@Sotaknuck Thanks colegamigo, and you have some videos for download and how to use it? I am in basic level.