While it's tempting to download a highly compressed setup EXE file, there are risks involved. Here are a few things to consider:
Searching for a "highly compressed" setup executable (often advertised as "verified" or only a few MBs/GBs) is a common but extremely risky practice. Most of these files are or non-functional clickbait. The Reality of Compression Grand Theft Auto V
If you have a friend with GTA 5 installed:
The "GTA 5 setup.exe highly compressed verified" refers to a compressed version of the game's setup executable file. This version of the game has been compressed to reduce its file size, making it easier to download and install. The "verified" part ensures that the file has been checked for authenticity and is free from malware and other viruses.