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Hi, this message is often displayed in games published in itch.io, gamejolt etc. It's normal.

I've downloaded quite a few games at this point no other game has had this problem. I'm not saying there's anything  bad about it. I think it's just because you have to download the setup and not the game it's self. it's a pretty small game so I don't see the need 'setup' it anyway.

You are right, I will create a .zip downloadable file with all the stuff in it. Thank you!