These tools usually require you to "flash" the provided image (found in the .zip) onto a USB drive using software like BalenaEtcher Boot from USB:
Checkra1n is a semi-tethered jailbreak tool for iOS devices. It uses a bootrom exploit to gain access to the device's file system. This guide will walk you through the process of jailbreaking your iOS device using Checkra1n 0.12.4 on Windows.