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how do I install the unity.dll?

You don't need to install it. After you unzip the file you should be able to run the .exe file (and the game will just run, no installation required)

it give me the error the code execution cannot proceed because unityplayer.dll was not found reinstalling the program may fix this problem

Did you unzip all of the contents of the zip file into the same place, and then run the .exe?

yes

The UnityPlayer.dll should be in the same folder as the Second Earth.exe. I believe that error happens when it's not.