A single executable file that installs the application in your computer. Recommended for most users.
A zip (compressed) format of the exe file above. In some networks, downloading exe files is strictly prohibited. If you are using such networks, download the zip file instead. After the download, just unzip it to get the exe file (installer).
A zip (compressed) file that includes all the required files to run the application independently from any folder you dump it in. Major advantage is that you can carry it around on a memory stick / USB flash drive, or copy / migrate from PC to PC via simple copying of files. No installation is necessary.