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Thanks for you patience - things have been busy over here and I missed this. Are you on Windows or Linux?

It's no problem! I'm using Windows.

Okay, I think I've replicated it. Did you move the Henchman Story - Demo.exe or the folders there to another location? Or did you rename anything? The .exe file needs to remain in the same folder as the "game," "lib," and "renpy" folders with those names. 

I didn't do anything. All I did was download the file and unzipped it. I didn't move or change anything. 

No worries! I would try deleting the files and downloading it into a new location - the error you got means that the .exe is looking for the files but they aren't where they expect them to be. Sorry for he hassle, hope that helps!
Alternatively, you can try the Steam version, which should do all that automatically.