when you download the file from the website, you should have it saved in a .zip file (if you have winrar), then you need to unpack this .zip file and you will get a normal folder, when you enter it, there should be a game icon there or if you don't have an icon, there should be a name anyway games (FAP NIGHTS AT FRENNIs.exe)
If you still have a problem, join the discord https://discord.com/invite/fatalfirereloaded