You can play it right away after downloading and unzipping. No need for anything else than a program to unzip the archive
However, if you would like to use a Controller to play the game, you might need additional software that eats your controller inputs the right way. There is an user manual included in the SSGX demo package for that. When downloading, just make sure to download the version that matches your system:
https://drive.google.com/folderview?...E0&usp=sharing