I don't have any experience with Wine or Play on Linux to be honest, but my understanding is that it should work out of the box. What I've done is download that same file and double click on it, and just click "next" a few times and finally allowed executable permissions by right-clicking on the desktop icon -> properties -> permissions -> allow executing file as program.
However, nothing seems to happen when I try to run it. I can see on the terminal an error regarding Wine Mono is not installed, which I vaguely remember is something should be installed separately.
I searched through the forum and found this thread that explains how to install it. Note however that in order to avoid compatibility issues I used version 7.0.0. The reason for this is because ZorinOS 16 is based on Ubuntu 20.04 and later versions of this may not work; then again, this particular version may not work with the program you're trying to install so it's a bit of a cat and mouse game at this point.
Unfortunately, I'm still not having any luck with this. At this point I think I will step aside and let someone with more knowledge than me on this area to give you some better advice. I'll leave this post just to somewhat show what I've tried, hopefully it'll help.
I actually tried to run the other installation script that I downloaded, the one specified for Linux that I showed earlier, and I'm also getting a permission denied error even after running as sudo (administrator). Very weird way of distributing software and zero guarantees, I'll torch this VM now 
Checkout this other thread for some clues as well, it might help: