If the file is inside a RAR/ZIP archive, extract it using WinRAR or 7-Zip.
This specific file name, , appears to be a direct download link or a specific archive name from a third-party gaming site (ApunKaGames). download-the-walking-dead-mep1-apun-kagames-exe
Once the installation is complete, launch the game from your desktop shortcut. If the file is inside a RAR/ZIP archive,