After deciding on the edition you need, you have two installation options, including an executable or a plain JAR file. The executable is only available in Windows and is offered in both 32-bit or 64-bit. The plain JAR file is available for Windows, macOS, and Linux.
The Windows executable is self-contained and will create icons in your program listing. However, the plain JAR file requires your platform to have Java (https://www.java.com/en/download/) pre-installed. You may choose the current version of Java (JRE or JDK) so feel free to choose the latest version: