I downloaded the GDevelop 5 setup file (not windows installer) from its website but when I open it even as administrator, without third party antivirus nothing happens on my windows 10, I mean nothing!
There isn’t a GDevelop 5 setup file (not windows installer) available. The only option for Windows is the exe, unless you downloaded the wrong thing.
The button on the left (Windows) will point you at an exe installer. Neither of the other options will work for windows
If you mean the Github page, the exe is the only file that will work for windows.