Penumbra Collection .bin file is corrupt, can't extract

[Chezecaek]

Okay, I thought I needed to because the setup wants to locate the .bin file (or insert a disk?) in order to finish. But I still can't figure out where it wants me to direct it to.

And, I thought files couldn't be run in compressed format and that's why they need to be extracted. But I'm finding I know less and less about how these things work.