First of all, thank you for replying to my comment :)
Well, I indeed extracted the file. I executed the .EXE icon, and than it appears and immediately disappear on my dock. Than, nothing happens.
Okay I did some research. Sierra handles Ren'Py games poorly. A format that I compile with used to support PC, Mac and Linux, but it is now broken for Mac. I will have to re-release the game for Mac only. I will try to do this soon, I'm sorry.