FreeGameDev

I donloaded it, but where is the ap to actually START the game. I can not find it anywhere in the files.

To my knowledge, the EXE file is in "Program Files/SuperTux/bin" and the very bottom.
This is for the Windows version. I don't know about the others (aka mac and linux).

It might also be searchable in the task bar, just type "SuperTux" and You might see it.

You should try to look it up in finder. It should be in your desktop. That's where I'd put it, at least.