I use the Android App "JoiPlay" with the RenPy plugin from there it is download the PC version and extract it then tell the app when you add a new game to point to the .py file.How do i play it for me it just says its a zip file and i cant so anything to it except extract it
On Linux it would be the .sh
On Windows the .exe ( unless you on a pre 2010-era box then the 32.exe )
In theory if you have Ren'Py installed on Mac OS X you could maybe get away with running the py directly as well, but I have not tested but know enough about to say 'it could work'