You have to open "Oculus (Air)Link" from within your Quest 3 headset (usually by clicking the notification icon), that will show your Windows desktop, from there just go to the folder where you saved Heat, and open the .exe
You have to have your headset on first, otherwise it will not start properly (for me at least) so I always start Heat from within my Quest 2, using Airlink to get to my Windows Desktop. Within Oculus Link, you can click on the monitor icon to view your Windows monitor (or multiple monitors), and then go to the specific Heat folder