CAN'T PLAY THE GAMES?

I found this site by trying to play Lisa: the First. I downloaded a .rar file from here and couldn't figure out how to open it. I found another site that hosted a zip file with an .exe which also didn't work. I thought maybe it was just that particular game and started poking around to check out some of the games built with some of the free engines so I could see if I wanted to muck around with making a thing (I have previously worked with creating text-only games, making a graphic thing would be cool). However, none of the games that I have downloaded have worked. I am wondering if I am missing some sort of software that let's me run these .exe games? Some of these games look pretty neat and I would like to try them out.