ActiveCollab is a web application. It does not have an .exe or .app that you can double click to have an installer. You actually need to set up a web server to resolve a web address to a directory where your ActiveCollab is installed. Once you have a correctly configured web server that meets ActiveCollab system requirements, and have a host that maps to a directory where ActiveCollab files are present, installer will be displayed when you access address of that host in your web browser.
Here's a brief info on how web servers (Apache, Nginx, IIS etc) work. These software packages are configured so they map a web address that you type in your browser (usually called host or virtual host) with a directory where website is on server's file system.
For example, you can have a host like this: mycompany.com mapped to /var/www (or C:\WebSites) directory on the disk. When you visit mycompany.com using a web browser, web server will resolve it to a disk location, and serve you pages or web applications from that directory. Here's an article in Apache documentation that explain how virtual hosts are configured in that software package:
Other server have similar articles and concepts.
If all of this sounds overly complicated, that's usually a sign that you should consult someone who has experience with setting up web applications. For most cases, that is the easy part. Configuration and especially troubleshooting can get much trickier from this point on.