Hi Fabian,
Welcome to the Bazel community!
You downloaded the source code of Bazel, which we call the "distribution archive". It's a zip file with the sources of Bazel, and a script that can compile it all. This is useful for those who want to build Bazel on a platform that we don't release pre-built binaries for.
Although you can also build Bazel from sources on Windows (after you install some additional software [3]), there's an easier way: download the pre-built Bazel binary [1] or use the Chocolatey package manager to install Bazel.
A few hours ago I rewrote the docs about how to install Bazel on Windows, so you may want to take another look at that [2].
Bazel needs some additional software to do its job, so make sure your system meets these requirements [3].
Happy building!
Cheers,
Laszlo