MacOS installation help?

Hello everyone! Sorry I'm guessing this kind of post is common here. I want to play morrowind on my M4 macbook air. I've intalled openMW and I purchased a .exe file of the game from GOG. When I go to the installation wizard and try to select an existing installation, my morrowind file is gray and I can't select it. I think this is because "the unarchiver can't open this application". I downloaded something called the extractor, selected the exe as an input file and created a folder on my desktop as the output file, but an error message kept popping up.

Any help would be appreciated! Sorry, not the best with computers lol.