Just run the .exe file. It might give you a scary warning from SmartScreen, if you see this screen, press the "More info" link to get a "Run Anyway" button.
Extract the zip and run the .app file. You may be told that it is from an untrusted developer, and if so goto Apple menu > System Preferences… > Security & Privacy > General, under the header "Allow applications downloaded from:" either select anywhere or (if it appears) push "Open" where it says that my program was blocked.
Run the file as an executable. If it doesn't work, make sure it has executable permissions (chmod +x filename) and try running it from a command line (./filename)