If your Windows install is older than Windows 10 version 1809, then you will need to use the MSI installer instead:

Spark-2.0.386.msi

If you see Windows can't open this file when opening the MSIX, then you need to download and install Microsoft's MSIX Core tools to enable you to install Spark:

msimgrSetup-1.1.0.0-x64.msi

Download and run this MSI before installing Spark. Your Windows installation must be up to date with all security patches.