It's fine, when you download and extract the folder, you have a folder named Feline Fantasies 3.1.5, yes? If you haven't taken that folder out of the zipped folder you should do that now. When you open that folder it should look like this. The file you want to run is the .exe file.
8 days ago(+1)
You simply don't have extension display enabled. So the file you're looking for is simply named "Feline Fantasies". That's the executable you're looking for. Double click on it and you should be good to go.