Hi there. This is a (sadly) not uncommon problem that some people have with games made in Ren'Py.
Usually it is the user's antivirus program falsely assuming the .exe is malicious and deleting it when you extract the files from the .zip. I'd suggest that you tinker with your antivirus so that it understands the .exe file is not malicious, or else disable it just until you've extracted the files from the .zip.