Welcome to the Community,
ESXi is not just an application, it's an operating system. Therefore you cannot install it on Windows (except for e.g. lab purposes as a VM on VMware Workstation). Furthermore, Veeam will not work with the free ESXi Hypervisor edition, so even if you setup a host it will only work during the first 60 days, while the ESXi host runs in evaluation mode.
André