Simply download the Zip archive release for Windows from the link above, extract the archive to a directory, then double-click on xemu.exe.
Also BIOS files are needed.
https://xemu.app/docs/required-files/
xemu Emulator (Normal Download Link)
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| Filename | Size | Type |
|---|---|---|
| xemu Emulator | 11.15 M | Windows |
| xemu Emulator | 19 M | MacOS |