exe file, like most PC-based video games.
This game is not a ROM hack, it has been created on its own using RPG Maker XP and Pokémon Essentials. Go to the latest release post (it is always stickied at the top of this subreddit, and it is usually called something similar to ' Pokemon Insurgence X.Y.Z', where X, Y and Z are numbers), go to the 'Cores' section and download the file appropiate for your platform.
How can I download and install this game?