You download a Zip-File containing the Installer. After extracting choose or create a folder and install the game there. A dektop icon will be created too. This is Release 0.0.04, the latest stable Beta-Version.
This game looks like a railway simulation, but also it will become an adventure. Get your first engine and your first waggons, drive through different levels and explore your own world, help to build up Steam Valley ... there will be many things you can do. You are playing in an open world, can do what you want. You can drive, you can stop where you want, leave the engine and walk through the level. You can enter houses, find items and money, speak to people. Then you can enter your engine, drive to the next level, and do the same. Or you walk to the next level, if there is a way to it. Sometimes maybe.
When beginning, you have to do some quests before you can get your first train.
Once done, there are 5 levels for driving through and testing the game.
Enjoy it and have fun :-)