TLDR: Use the "Install Instructions" on the page.
First you need to download a ZIP file from the main page, if you are using Windows grab the file labeled Windows, if you are using MacOS grab the file labeled Mac, if you are using Linux grab the file labeled Linux. Then extract that ZIP file, now double-click the file "A Childs Nightmare.exe" for windows, "A Childs Nightmare.app" for MacOS, and "A Childs Nightmare.x86_64" on Linux. Now the menu should be on your screen, click the top option, now you should be in a bedroom. Use the W key on your keyboard to move forwards, use the S key on your keyboard to move backwards, use the A key on your keyboard to move to the left, use the D key on your keyboard to move to the right, and you can jump with the Space key. That should be all the information you need.