When you first download the game you'll get a .zip file. After that, find your downloads folder and locate the Knee Deep.zip and right click it. There should be an option that says 'extract all' or 'unzip', clicking that will unzip the file and give you a new Knee Deep folder. Inside that folder there will be an .exe file and double clicking that will run the game!
I just downloaded it again and these are all the options its giving me2 days ago(+1)
Right now there's a bug causing this error, but we're getting it fixed and will upload a new build very soon!