The script itself and any files it relies on (configuration files or supporting scripts) has packaged into an installer package. The installer is an executable file (.exe) made with Inno Setup.
When you run the installer the default is to install the script in a subfolder named ‘Scripts’ in your Documents\Zwift folder (where Zwift puts e.g. logs and .fit files in other subfolder).
The installer also creates a convenient shortcut in your Windows Start menu such as this:
If the package you downloaded contains script files and not a compiled program / executable remember that you still have to have AutoHotkey installed on your PC to run the script. The installer package checks whether AutoHotkey is installed and will only let you complete the installation if it is.