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.
“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.