Portable? Then why do I have to run an exe?

So I go download portable nethack, because I don't want to install an app.

To my surprise, the downloaded file is an exe.

In my books, a portable app does not require installation. So what's up with the executable? I expected a zip that I could extract to a folder, and I expected to see NethackW.exe inside that zip, so I could simply run it.