For starters, you need to install Auto Hot Key. That’s the program that runs the macros. Once you have AHK installed, you can double-click on the macro file to run it.
The macros themselves are just a text document; it’s AHK that binds the keystrokes to the macro commands.
Also, some of the key commands may not be assigned to your Dorico profile (like Ctrl-Alt-P to Propagate Properties… it’s not a default command, you need to add it to the Key Commands.