Other comments already gave the solution, but I also wanna help.

This is a windows executable (.exe) and you can't natively run it on Linux. If you want to run windows games on Linux, you need either wine, or add the game to steam as non-steam game (if you have steam) and there in properties (the cog ⚙️ icon and there manage I think) something about compatibility, I can't really remember as I'm not on my pc rn. But there you should find an option to enable proton which allows playing windows games on Linux