I am trying to install the Eikon Windows API but I get a download error as I try to open the installation file and also an RFA error is showing. I would like to know what can I do to install correctly and if this API contains also the python API.
I'm not sure I understand. As far as I can see the download of "Eikon API Proxy - Windows" under the link you specified only contains the readme file. So, I'm not sure what you tried to run and how you experienced the errors you mentioned. In any case if you use Eikon on Windows and you installed Eikon application, you don't need to install Eikon API Proxy, as it is embedded within Eikon application, as stated on the Downloads page you referenced. Please follow the Quick Start Guide to get going with Eikon Data APIs.
Thank you Gurpreet, I downloaded the Eikon API Proxy - Windows from here:
What is the error message when you download and install it. The proxy needs Eikon installed and running on the same machine, and isn't even needed with the latest version of Eikon on Windows.
See the Eikon python API quickstart and tutorials here.