So I downloaded the latest executable, and after running it it self extracted itself. So what do I do now to set it up?
Check the tutorials on the internet.
Short: OpenCV is a library, so you use it in your programs, it isn’t an executable program.
So you set up a project in C++; in the project settings you add the [opencv_dir]/include to the include folders, the [opencv_dir]/lib/opencv[…].lib files to the link part and you are good to go.
When you built your exe file, copy the [opencv_dir]/bin/opencv[…].dll near the executable (or put it in the path environment variable) and run.
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“on the internet” meaning official docs first, random blog posts second 
if you want to get going quick, I’d suggest doing it with python. pip install opencv-python gives you an acceptable starting point. setting OpenCV up so you can build your own C++ programs is some work, but manageable.
https://docs.opencv.org/master/df/d65/tutorial_table_of_content_introduction.html