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.
Taken from [the MSDN](https://docs.microsoft.com/en-us/sql/database-engine/configure-windows/enable-the-lock-pages-in-memory-option-windows?view=sql-server-ver15):
The XMRig developer provides pre-built binaries for Ubuntu Bionic (18.04) and Focal (20.04). They may work on other Ubuntu versions, and on other distributions, but this is not guaranteed.
The XMRig developer provides pre-built binaries for Windows users. They are available on the [GitHub release page](https://github.com/xmrig/xmrig/releases/latest).