Unzip the package by right-clicking the download and choosing the “Extract All…” option. Once open, find the file labeled “monero-wallet-cli.exe” and open it.
This part is optional for the purpose of creating a wallet but in order to actually use your wallet, you should also open the file labeled “monerod.exe”. Just minimize it after it’s open and let it run. It will download a lot of data and sync up with the network after several hours. It must be synced for you to check a payment or send a payment.