You do not extract the downloaded exe file -- you double-click on it to start the install of Solid Edge. If you extracted the files manually then the Solid Edge will not install properly and you will not have your license file.
If you install by double-clicking on the downloaded exe file then your Solid Edge license file will be automatically installed for you.
As you are capable of and have already manually extracted the files from the downloaded exe file then you should be able to locate the selicense.dat file that is part of that downloaded exe file and manually copy it in to the correct location.
If you are not able to do this then uninstall Solid Edge and reinstall it correctly by double-clicking on the downloaded exe file.