In case you didn't figure it out (I don't have a Deck, but Linux Desktop), exit Big Picture mode, install Heroic Launcher, click "add new game", (optional: type in the name and set the image if you want), select that it's a Windows version, (optional: select a specific Proton version in the dropdown), select the executable you downloaded, and you're done.

If the download was an installer instead, do the same steps except before you select the executable click "run executable" or whatever it says first and run the imstaller, then select the executable that the installer creates (it'll be in the prefix for the game, which should open when you click "select executable.")