Hmm there’s only one thing I can think of. Did you make sure to extract the downloaded archive before running the executable? I’ve noticed on latest versions of windows, when double clicking on an archive, it opens it like a folder. However if you just double click the executable that way, it won’t be able to read any other files in the archive, and will show an error that a file is missing.
If that’s the case, try right clicking the archive and select “Extract …” and select a destination. Then run the executable from there.
If that’s not the case, maybe it might be helpful if you provided an example of a project you tried, and the steps you followed, and someone who has tried the same game would be able to confirm if you missed a step.