MeltingDog: GOG_Galaxy_Heroes_of_Might_and_Magic_2_Gold.exe
Ok so you clicked on that blue button in the game download page. The file you downloaded will install the Galaxy client for you, and download/install the game with it. That file doesn't yet contain the actual game I think.
So now you have two options:
1. Do you want to install and play the game with a Steam-like client, called GOG Galaxy? If yes, then run that exe file, and download/install the game you want with the Galaxy client that that file installed.
2. If, however, you just want to install the game without any additional clients, then:
- delete that file you downloaded
- go to the same place where you downloaded it, but instead of clicking the blue button, click below it on the "Download offline backup installers", under it is the installer file for the actual game. Download that file, and run it.
It installs the game for you normally and after that you can start the game from the Windows Start menu.
So with GOG games you nowadays have basically two options: install and play your games through the Galaxy client, or install with the offline backup installer and run the game without a client. I prefer the latter way for single-player games.
EDIT: Oh, forgot: your profile page says you have already played that game through Galaxy, so I presume you already installed the Galaxy client, and installed and played the game through it?