This tutorial only applies to Windows
Whenever you download a program, you have the chance to stumble upon a case like the one in the image.
Most of the time, you can browse to the folder and just open the executable. But if you want it to seem like it was a normal program, you can follow the steps in this tutorial.
Step 1: Step 1: Copy Your Files to Your Desired Program Location
First off, you need to copy all those files and put them into a folder. For example, you can put it in the Program Files folder (C:\Program Files) or anywhere you'd like.
Step 2: Step 2: Make a Shortcut
Now, you need to make a shortcut. To do that, you need to find the executable, which most of the times will have the name of the app in it and also, as shown in the image will say "Application" to the right of it.
Step 3: Step 3: Create a Shortcut
Now, that you found the executable, you can make a shortcut out of it. To do that:
Right Click > Create Shortcut
Step 4: Step 4: Move and Rename the Shortcut
Now, you just need to Move the shortcut wherever you'd like (the Desktop, for example), then rename it to the name of the program. Done!