The .exe [executable] file is the one that actually starts the game [or app]. For the GOTD games it's in the games folder, usually Program Files (x86)\ Toomky Games\ [NameOfGame]\ game.exe . By default Windows Explorer doesn't show the 3 character filename extensions, so you need to go to Options on Explorer's menu or menu bar, select view, and make sure the option to hide extensions is unchecked. These might help finding a Steam game's .exe file:
youtube.com/watch?v=TDRAu74jMuc
steamcommunity.com/discussions/forum/1/618458030652803244
Another way is if the game will start it'll show up in Task Manager [right click the TaskBar]. Start Task Mgr. 1st, then the game, and if you can't see the TaskBar to bring Task Mgr. to the front, you can hit Alt+ Tab and select it. Right click the game in Task Mgr. & select Properties -- the window will show the name of the file towards the top, and it's location further down. Sometimes the name of the app or game has an ">" next to it, & when you right click that app or game Properties is grayed out. Click the ">" to expand the tree, then right click the file in that tree.
On my wife's PC running Win11, for older & GOTD games I normally just check the box on the Properties -> Compatibility tab for the recommended Windows version under Compatibility mode, and haven't had any problems. On her laptop where the display is upscaled 150% I click Change high DPI settings, then check the box under High DPI scaling override, selecting either System or System (Enhanced) -- I'll try one way and if it doesn't work, try the other. That said, many have reported that they wound up trying all the options on the Compatibility tab before a game would work properly.