The file you download from them should be a .zip file.
Here's a video showing how to extract .zip files.
http://www.youtube.com/watch?v=ZQOYqzGHiDYOnce the folder is unzipped, double-click the Setup file to install.
You won't see the ".exe" on the end unless you've set your computer to display file extensions.
I don't know if Shadow Tor sends an email with the download link the same way Adventure Shop does. But they should have provided you with the download link.