Did you unzip the file before playing? I know saving (and also corrupted files) is often a big issue if you try to run something directly out of a zipped file, since it's compressed while zipped. Great for storing or moving about, not so great for trying to actually read or run anything in there
If you haven't, I suggest you get a zip program like winrar or 7-zip, so you can unzip the .zip file before playing.