I try to open it but it just keeps going to "select a program to run Behemoth in" thing.
That is weird, are you sure that you are extracting the file first and then trying to open Behemoth.exe?
I will try to download it again and do that. If you have ever seen that game Standby on itch, it does the same thing. But they are both rar. files so that might be it.