Proton is just a compatibility layer to make Linux run Windows games.
Normally if you install a game via Steam Proton just kind of works.
https://github.com/Open-Wine-Components/umu-launcher should let you use Proton without using Steam.
And yeah, you want the entire folder titled 'Dispatch.'
Linux won't really recognize .exes. Those are a Windows thing, so you have to run them via some sort of compatibility software like Proton or WINE.