ZSNES board

You know what, screw it! I'll just install windows on another drive and use that version.

What I mean is that I read the instructions to install it. I extracted the files into a folder. It then said to run zsnes.exe, but I couldn't find that program. All there is is a bunch of documents in various folders. I have no idea what to do.

I'm very new to Linux in general and I have no idea of how to run ZSNES on Ubuntu. I believe it is a fairly recent version. Can anyone give me an easy to follow description on how to get it to run?