How do you adventure in crimbo09 places?

It's not on the drop-down menu for me, is there a way to update that or otherwise adventure there?

So how do I adventure in the compound? I downloaded that .exe but its still not there. Am i supposed to use a .jar file? If so, how?

Yes, the latest builds are in .jar format. The .exe is built once a week I think.
On most installations just double clicking the .jar file runs it. At least for the PC. If you are on a different system, state what it is and someone is bound to help you (or point you the right direction).