Hi, thank you for playing our game! Glad you liked it :)
As for the '.exe', we basically created a self extracting executable. We tried to use 7z ,as it is free (as in freedom) software, but it was a bit hard to get it working so we ended up using winrar, as suggested by this guide. For Linux we used http://makeself.io/.
Finally, we couldn't find a way to do this for macOS so we just went with the zip file. Probably it didn't make sense to make an installable '.dmg' just for a demo.