It's an .exe file so consult your operating system's guidance on running them and always run anti-malware on .exe files to get comfortable that it doesn't contain a virus!
Yes, the game starts out with a rougher difficulty curve when you're alone, then gets easier as you find friends to help you. In the beginning, I would definitely advise getting Lucia to level 2, getting her equipment (either purchasing basic armor or crafting it), crafting some healing potions, and getting a couple powers/skills to help her take on that first boss fight. It is a challenge!
