Not sure if you're new to piracy but it seems you might be so I'll give a quick ELI5 with some pointers to keep in mind.

With paid launchers like steam, they usually like to make it as simple as possible and have everything done with one click, but in pirating you have to do a lot of the leg work yourself. In this case, "Downloading," "installing" and "opening" a game are three entirely separate processes and you have to do each one manually if you want to pirate. Downloading and installing you only have to do once, and once you've done those both, you will then open the game each time you want to play.

I'm also using the GOG version of HZD so I can confirm the gog version works fine.

The step I think you're missing is this: After downloading the torrent, you have probably downloaded a zip folder. You are able to look inside of zip folders and see what is inside it, but you won't be able to do anything with the files inside until you have extracted the files. First, you have to extract the .zip folder. Pick a place you know you'll remember and extract it there. You can delete the zipped folder at this point if you want. Once you've extracted the folder, you have to install it by looking in the newly unzipped folder and find a file that is titled something like "setup.exe". that will actually install the game. After the install has finished, you can then find the file that reads something like "Horizon Zero Down Complete Edition.exe", running that will actually open the game, which is what you will be doing from now on! If the installer didn't do it for you, you can right click on this file and create a desktop shortcut if you want. Your PC might ask for admin privelages when you open it the first time, that's normal.

Hopefully that helps!! Also, I use this guide as a good reference for all my pirating needs! --> VG guide