The WordPress download is exactly that: a ZIP file with all the files and folders required for a WordPress-powered web site.
However, WP is NOT an “application”, nor does it have an executable file that one double-clicks to “run”.
WP is a web site framework which requires a web server and database server on which to be installed. Typically, this is provided by a web hosting company where one would buy a hosting account as well as a domain name to go along with it.
That said, one can install WP on their own computer in order to “try it out” or develop sites, themes, plugins, etc. “offline”. But again, one needs to install, set up and properly configure a local web server on their computer first.
Have a read through these resources:
https://codex.www.ads-software.com/Getting_Started_with_WordPress
https://codex.www.ads-software.com/Installing_WordPress