The only thing it seems you can do from there, is to press Escape (which quits the program).
And I believe there is no way to get rid of the pig... except for running a Love application.
How?
Well, I would have guessed that downloading a .love file, and double-click or draggint it on the Love icon would open the game.
I tried with the facilitated-escape.love file, but this just gave me the pig again.
But you may want to do your own application.
Simply create a new folder, probably on your Desktop.
In it create a main.lua file with:
function love.draw()
love.graphics.print("Hello World", 400, 300)
end
After that, drag and drop the newly created folder on the Love icon.
You should see 'Hello World' appears in the middle of a black screen if all goes fine.
From there, you can learn how to add new stuff inside the main.lua file in the tutorial:
https://love2d.org/wiki/Getting_Started
As far as I know, it is Ok to add an exception to this website that seems to insist to use https with an invalid certificate.
