The game comes as a zip file, so you have to extract the contents before being able to play the game!
On windows, you'll get a folder with an exe file in it, and you just double click on the exe to play it!
(Though sometimes windows mistakes Ren'Py games as suspicious due to having an "unknown publisher", so you might have to deal with windows trying to block the application-- if you just hit "run anyway" it should be fine)
A similar thing can happen on Mac too so you might have to open system settings, go to security tab and scroll down and click "open anyway" (I don't have a mac myself, this is a second-hand account from a friend, but I could ask for further info if needed!)
I hope that covers any issue you might be having! if you have any followup questions, please feel free to ask!