You need to be in a web browser, not Explorer, and if you’re on your local machine, you need to have a working Apache server, PHP, and MySQL installed (e.g. with a package like XAMPP). You also need to put the MODx files below the htdocs folder.
If you notice after I click on setup I’m given seven folders on the right to choose from. Neither of these folders nor their contents have anything to click on that is an executable file. Again pardon me for being such a dumbass.
There is no executable. You need to access that setup folder from your web browser (Internet explorer or FireFox). Not sure exactly how XAMPP works but it might be something like http://localhost/Mod/Setup