Chess consists of many files and folders. The main file will be called chess11.py for the source code or chess11.exe (or whatever extension your OS uses) for the bundled package. This is the file you will launch to play Chess.
If you are using a bundled package, the folder containing the executable also contains many other files (and a small number of folders) that allow Chess to run on a computer without a Python installation. Deleting or altering these files or folders could render the game unstable or unplayable. Depending on your environment, they may be tagged as hidden, only displaying if you've set your computer to show hidden files.
There are also several other folders (and one file) that contain game content, like piece icon sets, sound effects, and a favicon. These can be deleted or altered, as long as you provide Chess with alternative locations for these files (see SFX Folder... and Icons...). This Help content is also included. Leave it in its default location and you'll be able to access it from within the game (see View help).