You extract the zipped folder and run the exe with wine. Or extract zip and add the exe as a steam game and force it to use proton compatibility mode. That's basically how you run any windows file on linux btw.
Some games work better with Steam cuz of some translation bullshit I don't understand that wine doesn't do without over-complicated plugin bullshittery. This one works with wine though so you can just click it once wine's installed.
Not sure why this is marked as a linux game when it doesn't appear to be.