You are not missing anything. That is how the Core Utilities are distributed. There is no installer or setup.exe or stuff like that. They are command-line ports, for Windows, of common Linux/Unix utilities. Because they are Windows executable programs, they have an .exe extension. Having unzipped the downloaded Zip archive to a folder, in that folder you should see five new folders called bin, contrib, man, manifest, and share. The one you are mainly interested in is the bin folder because that is where the utility .exe files are located. I hope you can see my screen shot below which shows the first few in their folder on my system. There are 98 altogether.
So you need to make sure you know the full path to the bin folder, it may be E:\Kohn-II\Downloads\coreutils-5.3.0-bin\bin - you should determine this. You can either move them to another folder of your choosing or leave them where they are. To use them in your scripts or at the Windows Command prompt, you can use the full path and utility name which might look like this
E:\Kohn-II\Downloads\coreutils-5.3.0-bin\bin\date.exe (the .exe is, of course, optional in most cases)
You should see something like this:
Sun Jan 7 21:00:43 GMT Standard Time 2018You can use the customary
--help option to get guidance for most if not all. This is like the standard Windows /? option (e.g. dir /?).
The other thing you can do is put them in a folder on your PATH. If you do not know what this means, let me know and I will clarify. A problem with this that can arise is that some of them (sort, date, dir, sleep, for example) have the same names as existing Windows utilities or internal commands, so you could get clashes where you get the Windows version when you wanted the GNU version, or vice versa. I got around that by renaming the GNU ones that clashed with 'gnu' at the start, e.g. gnudate.exe, gnusort.exe, gnudir.exe etc.
Or you can copy an .exe that you want to use, into a folder you are working in, and call it directly.
The man folder (man means "manual") has folders with help text files for each utility, and will repay examination.
Also, the overwhelming majority of Web guidance and discussions about Linux/Unix utilities will apply equally to the GNU versions for Windows.
If anything is not clear, please come back and I will try to help.
Have fun!