The listing explains the principle pretty well:
You tie your shoes, put on your headphones, take your first steps outside. You’ve barely covered 100 yards when you hear them. They must be close. You can hear every guttural breath, every rattling groan - they’re everywhere. Zombies. There’s only one thing you can do: Run!
Zombies, Run! is an ultra-immersive running game and audio adventure, co-created with award-winning novelist Naomi Alderman. We deliver the story straight to your headphones through orders and voice recordings - and when you get back home, you use the supplies you’ve collected while running to build and grow your base.
It's a cross platform title, and is also available on Android and iOs. Developers Six to Start posted a video explaining Zombies, Run! at the start of the year.
It is a pricey application (£6.49 / $7.99), but there is a trial version to see if the app suits you. Pick it up from the Windows Marketplace, or from our app directory.