Hello! My guess is that it is downloading to your "Downloads" folder, which can be found in your file explorer. If you are trying to launch the installer from the notification that displays when you initially download it, it won't work.
When you download files, they go to the "Downloads" folder. You can find that folder using File Explorer, and the installer will be in that folder. Then follow the steps in the Installation Instructions.
Because the game saves your progress, a stand alone exe would still need you to specify a location on your device to save the data to. The installer just simplifies that process for the user. If you are comparing to games downloaded on Steam, note that Steam does the installation for you.
I would be glad to help you get the game running! Explain in more detail what is going wrong, can you launch the game but the game doesn't work, or are you having a problem with the installer?
