Hi Lee! Warm regards to you!
The popup I get (Windows 10.0.19043.1110) was a security message: "Microsoft Defender SmartScreen prevented an unrecognized app from starting. Running this app might put your PC at risk." -- and if I click the "more info" link I get a new button to Run Anyway. The setup then starts and I am prompted to unzip to the folder C:\EsriPress\GTKArcGIS\.
If you are really just playing around "from scratch" and not working with an existing project, I highly recommend learning Pro. I didn't like it at first but I a warming to it - and honestly it is much more responsive on modern PC hardware than ArcMap. There are also major major improvements we have wanted for many years, for example the Pro version of Zonal Statistics as Table handles overlap. I now teach Pro 100% with just a little ArcMap.