You can’t open the application “OfficeSetup.exe” because Microsoft Windows applications are not supported on macOS.

I bought a brand new Mac Desktop and purchased Microsoft Office Home & Student 2021 as a downloadable app with a product key. When I downloaded the file which is .exe (obviously non-Mac) I get the above error message. Why would apple sell a product in their store that is not available for their computer? Or is there a version that is available for Mac that I am missing? I am running in circles on Microsoft's support page and it is very unhelpful. Thank you!