Huh.
Okay, back to the beginning. The file you downloaded is xonotic-0.6.0.zip. This file is what's called a "zip archive". It contains many other files and directories that you noticed when you downloaded it.
What you need to do is extract the files and directories from the zip archive onto your hard drive, for example in a directory on your desktop. To do so, you need to go to the place where you saved xonotic-0.6.0.zip, right-click it and select "extract" or something similar. Alternatively, you could open the zip archive and extract or copy/paste its contents. I can't tell exactly how to do that because I don't use Windows (I'm assuming that you do? you haven't answered that question) and there are many different programs (WinRAR, 7-Zip, ...) that can open zip archives, and the Windows explorer can do it too. You will need to figure that one out.
Anyway, now that you have extracted the contents of the zip archive, just go into the directory where you extracted it and look for a file with the Xonotic icon called xonotic-sdl. Single-click or double-click that and it should launch the game.