Do you get an error message?
Did you unpack the game from the zip?
Is the game on a write-protected (="read-only") location? ON a usb-stick?
I think it means that the current user doesn't have the permission to excecute that programm (in that specific location ). You could try to move the game somewhere else, or check if you can change the folder settings, or permissions of the game.
Something that helped someone else with a problem on mac was to download the unarchiver app on the mac app store, and use that to unpack the .zip instead of other programs.