The builds of GNU Backgammon which may be downloaded from the main GNU Backgammon page comes with an installation system. The installation system will create a launch menu item in your start menu. Usually the menu item can be found by choosing Start->Programs->GNU Backgammon->GNU Backgammon for Windows..
GNU Backgammon also has a command line interface. This is supplied as a separate executable file on Microsoft Windows. You can start this version of GNU Backgammon by choosing Start->Programs->GNU Backgammon->GNU Backgammon Command Line Interface.