From that page: "Git for Windows provides a BASH emulation used to run Git from the command line. *NIX users should feel right at home, as the BASH emulation behaves just like the "git" command in LINUX and UNIX environments."
That's correct, it works automatically and is great to fix windows (when I have to work on windows) so it has some functionality but even if all I used out of that was git, it's easy. Is it all one exe? No. Does it need to be? No.