Same thing here. I am using windows 10. It was running fine yesterday and today it says that it is a .py file
I've seen this a few times with Windows 10. Windows 10 is deleting the .exe file without giving you warning or an option. The problem is, I haven't seen a fix for this and I don't know why it's doing that on some computers while most people are able to download and play it just fine /:
What I did was try to rextract the files and then cancel while it was copying. The .exe file returned and my save files were still there. Totally happened by accident but that's how I got to play it again.