This sounds like the developer of that game has missed some files. The best option would be to follow the instructions of how to install and play a game on its page. If that doesn’t work, then you need to contact the developer, and let them know the steps you followed and the OS you are using. Something like:
Hello, I’m running Windows 10, I downloaded your game <GameTitle> and after running the “.exe” file I get the error “missing file X”.
This will allow them to help you, in case you missed a step, or let them know there is an issue with their project, in case they are not aware of it.