Game.exe is the filename on Windows of the OHRRPGCE game player program. This is the program you want to run in order to play OHRRPGCE games. Of course the program is named slightly differently on other platforms: OHRRPGCE-Game on Mac OS X and ohrrpgce-game on Unix. Frequently it is referred to in a platform neutral way as "Game", but this is of course somewhat confusing.
Game is part of all packages available from the Downloads page. We no longer distribute a Windows package containing just the player but not the editor, Custom.