Can't Set Up "PigeonBlood"

I'm new to downloaded games, and only found out how they work about a day or two ago.

I downloaded PigeonBlood (I think from a blog site, not here, but I can't remember) I extracted all 13 + patch parts, and then after that, I'm honestly not sure what to do next. The exe is "PigeonBloodUpdate101" if I click on it, "C" with Japanese writing comes up. If I click on "C" it gives me something for a "yes" or "no" option. If I click on "no" it just stays on the screen with "C" option, if I click on "yes" it does the same thing. Then if I click on "C" the whole thing just closes completely. Am I supposed to wait for it to load or something?

I read that if you have the exe, then you don't need to use the ISo. So....I don't understand what to do. Can someone help me out?