Your download is starting.

1

Open the file you just downloaded

Parallax-Launcher-Setup.exe, usually in your Downloads folder.

2

Windows will stop it the first time

It is not code-signed, so Windows blocks anything it has not seen before. Two clicks get past SmartScreen; Smart App Control needs one setting changed. Both are shown here, with pictures.

3

Install where you like

It installs for your user, so no administrator password is asked for — and none is asked for when it updates itself later.

1

Allow it to run

Right-click the file → Properties → Permissions → Allow executing as program. Or in a terminal:

chmod +x Parallax-Launcher-*.AppImage

2

Double-click it

Nothing is installed and nothing is left behind — it is one file, and deleting it removes the program.

3

It keeps itself current

It watches for new releases and offers to replace itself. On Debian or Ubuntu you can let your package manager do it instead.