Connexion client is a Windows app and will not run natively on a Mac. Boot Camp solves this problem.
Boot Camp is a utility that comes with your Mac and lets you switch between macOS and Windows. Download your copy of Windows 10, then let Boot Camp Assistant walk you through the installation steps.
Boot Camp Assistant guides you through installing Windows on your Mac. Open this app from the Utilities folder inside the Applications folder. Then follow the onscreen instructions to repartition your startup disk and download related software drivers for Windows.