I can see and click it and it gives me a drop down list of all my apps, so do I need like a 3rd party app to actually run it?
Your environment is a Windows PC, isn’t it? You shouldn’t need any 3rd-party software in particular.
Previously, there was a player who couldn’t open the game files when the folder in a directory path too deep. Could you please extract or move them to somewhere like the C: and then run the Game.exe? (not Game.ini)