While the file you are looking for is GTA5.exe , the installation process is managed entirely by the game launcher. Avoid the temptation to download loose executable files from file-sharing sites; sticking to official sources guarantees a virus-free system and access to the full, expansive world of Los Santos.
Once the download hits 100%, Steam will run a "File Verification" pass. It automatically extracts GTA5.exe into the game directory. play gta v exe download install