Welcome to the forums

Firstly, i need to mention that you should not download from another site - other sites may give viruses or partial downloads. It's safer to download from here.
To find the .exe you first have to unzip the files using a tool such as winrar or 7zip.
Once unzipped, you want to find an icon that looks like a mushroom, depending on the version it may have different appearances.
Once you have found the correct application i suggest you pin it to the taskbar to make finding it and opening it faster in the future.
Also if you haven't, i suggest you use SMBX 2.0 as it is the version that is currently supported and in development (1.3 is not updated anymore). You can download that here:
viewtopic.php?f=69&t=16814
Hope i could help
