Well, it is written in Python, so although you may be able to create an .exe with some tricks, you usually want to run it with the Python interpreter.
See https://docs.python.org/3/using/windows.html

In Linux you browse to the script folder (via "cd C:\Script" for instance in Windows) and execute it via "python3 pgn2latex.py" (in Windows maybe "py pgn2latex.py")

I fixed some bugs in that script, so I'll attach a new version.

Here's a version numbering variations 1) 2) 2a) 2b) and so on. I'm not sure which behaviour is intended for numbering deep variations: 2aa) or 2a1)?

Btw., as you will have noticed, the code is pretty ugly :-) . Still, it works.