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I am trying to download but which one of the 4 do I download? I have tried all of them but I don't know how to play it when I open the file?

Try the "NEWEST (64-bit): oh-so-hero-v0.10.004-win6" build. If that one doesn't work, go down the list. You need to extract the files from the zip file, then double click on the exe. These are fairly standard PC concepts, so if you're still confused, try searching online for tutorials or provide more details so we can try to help you better.