You can install it via conda:
conda install -c conda-forge bgen
Alternatively, it can be installed via:
curl -fsSL https://git.io/JerYI | GITHUB_USER=limix GITHUB_PROJECT=bgen bash
Under Windows, please, use Git Bash terminal to enter the above command.
The second option will work only if the zstandard library has been properly installed before-hand, as well as the zlib library (which is probably already installed in your system), and the athr library.
Please, report any issue by opening an issue on Github.