It’s just a folder. You keep the folder.

When you want to run it, you go to the folder and double-click the .exe of the game.

If you want, you can drop a shortcut to that exe somewhere convenient.

“Installing” is just putting files in a folder somewhere, and maybe adding a shortcut to the start menu so the user can find and run whatever it was installed. There’s nothing special about it.

Unless the .exe needs some other program to be installed, or some files that need to be available somewhere else, you can just move the folder the game is in wherever you like, another PC even, and it’ll still run just fine.