Hmm... by default the downloads go to the "Downloads" folder. You can check it via the Windows Explorer window. Press Windows key + E and it should take you to the window that shows you the drives. On the left side should be a distribution of folders like this one (I'm using Windows 10 on Spanish so sorry for that haha)
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The foldel with the Down arrow is the "Downloads" folder.
There you can access anything you've saved (unless of course the default save location has been altered). Once there install WinRAR (suggested, but 7zip should be fine too). Now right click over the compressed file you downloaded (the game file from MEGA) and unzip it. Use "Extract Here" and a new folder with the name of the compressed file should appear.
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Wait until it has finished extracting (the extraction window will go away by itself once it's done).
Before running the game, make sure to install (or reinstall, whichever applies) the RTP file you also downloaded. It contains file required for this game (and many other RPGMaker based games) to function properly. Once it's installed, return to where you extracted the game and double click the "Game.exe" file.
It should be good to go by now. If there's another issue showing up (usually an error message appears before the game closes) let me know.