You need to unzip the file first, then unzip the file that has "pc" in the file name. After that is done, you run the exe file, it will have a unique icon that makes it stand out.
Does it show up in your task manager? I know for me it takes a minute or two to open. If it still doesn't work, maybe try right clicking and select "run as administrator."
Edit: Also, check the log.txt file in the same folder, that might tell you why the game is not running.
