The game does pay out, as contestants can win varying amounts of money depending on where their chips land. However, the game is based on chance, so there is no guaranteed payout for any specific contestant. The legitimacy of Plinko and similar games that promise real money payouts is often debated.
On the Microsoft Mahjong page in Microsoft Store, select Get the game (online) or Install (in Microsoft Store app). The game will download and install automatically. To launch the game, select Play.