Once the .exe is downloaded, you will need to run it via Proton or Wine. When you run it, it will extract the game into whatever folder you tell it to.

To Steam Deck players:

After installing the game via the above instructions, add "TNaF 6am Demo.exe" to your Steam library as a non steam game, and in game properties, under Compatibility, enable "Force the use of a specific Steam Play compatibility tool" and select Proton Experimental. From there the game will work just fine, run the game in Gaming Mode. It is required to edit your controller layout for the game. You need to enable the track pads as mouse, and clicking the track pad as left mouse click. This is required for using the title screen, cams and pause screen. The regular controls are all done with the controller buttons. The game runs best on Medium graphics settings, but can be pushed to High settings if you can tolerate occasionally dipping down to 50fps.

With all that said, please, enjoy!