Ensure you've clicked the correct link appropriate for your machine (PC/Linux or Mac)
Click "Download" button at top right of the page (next to share)
Double click the downloaded zip file from your downloads - this either opens it up in Explorer or whatever zip program you have installed (7zip, winrar, etc.)
Right click in the middle of your opened window and select "Extract All" or use program's "Extract To" button
Choose an installation location of your choice
Done! Run the game (.exe) from the folder you extracted it to.