Questions of Unity

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I don't know if you can open a finished/built/compiled/youknowwhatImean game with Unity, but if you have the Slender project files you should be able to just open a scene in the Unity Editor.

First your project directory needs to point to where you put the slender files. Alternatively you can also put them in a folder in your existing project directory.

The you just open the Unity Editor, navigate in the project view to wherever the creator put the scene files and doubleclick on one. (Or go to file>open scene) This opens it and you can see the objects in the scene in your hierarchy window.

...or what was your problem exactly?