Most pools are <abbr title="Pay Per Last N Shares">PPLNS</abbr> pools, which means that you only get paid when a miner on the pool finds a block. If the pool you are mining on is small, this can take a few days to weeks.
On some CPUs, XMRig tries to increase performance by disabling certain features like your CPU's instruction prefetcher. These operations require root/administrator, so try right clicking xmrig.exe and running it as administrator, or running `sudo ./xmrig` on other systems.
Scroll down to 'Assets' until you see the correct version for your system. Download this file, extract the archive somewhere memorable, like your desktop.
Some anti-viruses flag XMRig as malware because it is often deployed to infected computers to mine without the owner's consent. As it is your computer and you are configuring the miner to mine for you, it is safe to add XMRig to your anti-virus whitelist.