There's 2 Windows versions: an installer (`Setup_FactorioSpaceAge_<version>.exe.zip`) and a portable version (`factorio-space-age_win_<version>.zip`) - you can pick either, depending on whether you want to install the game into a system directory or unzip and play directly.

The .tar.xz file is the generic Linux archive - extract it (for example, with `tar xf factorio-space-age_linux_<version>.tar.xz -C factorio-space-age`) and run the executable in the extracted files.

The .pkg.tar.zst file is an Arch Linux package, download it with the browser/wget/curl/aria2/whatever and install with `pacman -U ./factorio-space-age-<version>-x86_64.pkg.tar.zst` (assuming it's in the working directory).