If you're using Steam/Origin/Uplay, then yeah that's how it "usually" works.
Games from GoG are more like "traditional" PC gaming (and how console gaming has been becoming) in that you have to install it, then you can play.
The fact that you were able to look into the compressed file, shows you have something like winrar/7zip, so you know what they're for. Based on that, it's not a great leap of logic to surmise that if you're presented with an obviously compressed file, you have to uncompress it with the software that allowed you to even get as far as you did in the first place.