Create a folder anywhere on the computer, and call it "OpenBVE". Then extract the files from the ZIP file to that folder. And make sure you have downloaded all the dependencies too, or else it will not work. Then, clicking on "OpenBVE.exe" will open up OpenBVE. Download some trains and routes from this site to start playing it. (Put trains in the "Trains" folder, and route objects/route files/route sounds in the "Railway" folder, in the corresponding subfolders)