No Executable File

I've just recently downloaded Eternity Engine so I could play Heartland, but I can't find the executable file anywhere. I searched throughout the eternity-master folder and it's nowhere to be found. Am I missing something?

Eternity-master sounds like you downloaded the source code, not an actual build. Remember something that says "code" or "source code" is for exactly that, the code, not a compiled program. You'll want something that instead says an OS such as "ee-4.02.00-win64.zip", note the "Win64" meaning it's a binary for 64bit Windows.

I'd recommend instead that you get the latest compiled build from https://devbuilds.drdteam.org/eternity/, as this has the new multi-threaded renderer, smoother interpolation and better gamepad support.