Download the zip file. The links are at: 
https://alicevision.org/#meshroom . This is a 
new version 2023.1.0 . If you are running Windows, make sure you use the button with the Windows logo (to the left). The other link button is for Mac users.
Extract the directory to a folder somewhere. An extracted folder will be created, called something, like Meshroom-2023.1.0. Open that directory. Inside the file to run is Meshroom.exe (or just Meshroom, if you have the file extensions hidden in your Windows setup). It should be marked with a blue icon. Double click that to run Meshroom.
If you are just learning Meshroom, you should first download and try the demo image files. Here are the links:
These files are good examples of the method you should use in taking pictures for your own reconstructions. They are also useful for troubleshooting problems on this forum. Remember that your digital camera pictures include needed "metadata", which tells Meshroom details about the camera, lens and other important things. For now, avoid editing any of your images, or you will probably lose this important information!
Meshroom saves a group of folders inside a "MeshroomCache" folder, which is created at the same location you save your working file from Meshroom (which has an extension of '.mg'). Each time you run a Meshroom file from this saved location, another set of new directories are written into each of these main 'category' directories, and have names, like CameraInit, DepthMap, DepthMapFilter, etc. Each of these 'Category' directories will have one additional directory, for each time you run Meshroom from this location. These have ugly names, like "8f737a077838590771cf657644b19761f9a8fd4b". If you have used this location more than once, look for the directory with the same time stamp as the job you are running (usually the most recent).  
Your finished, fully textured mesh will be in the MeshroomCache/Texturing/8f737a077_MY_CURRENT_JOB_DIRECTORY_1f9a8fd4b
directory as an .obj file. 
This texturedMesh.obj file can be imported to Blender and edited any way you want. This directory folder also includes all the image (texture) maps which 'paint' your mesh, so if you are importing from Blender, make sure you import the 
texturedMesh
.obj from this location, or move both the mesh as well as the images to a new location.
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By the way, Microsoft likes to keep you dumb. Understanding and identifying these various file types is important for this kind of work. If you do not see your file extensions (.jpg, .exe, .exr, .obj, .mg, etc.) in file views, you should do a search for "
Show and hide file extensions in Windows" and set your computer to show these when viewing directories in Windows Explorer..