(i used the ClanGen-windows_10.zip (69 MB) download, im not sure if this applies to others)
Download the ZIP file and extract the entire "Clangen" folder, using an application such as winzip or 7zip. Just extract it to your desktop.
Once it's extracted, open the folder and scroll until you find the .EXE file called "Clangen.EXE". Run that and you'll be in the game!