No worries! The debug build should have a separate window that pops up, you probably need to alt tab to see it. It will list any errors. Are you sure you extracted all of the files in the zip?
This is the msg im getting for the menu and yes im pretty sure I extracted the right way
WARNING: _update_root_rect: Font oversampling does not work in 'Viewport' stretch mode, only '2D'.
At: scene/main/scene_tree.cpp:1236
WARNING: set_native_icon: No small icon found, reusing 32x32 @32768 icon!
At: platform/windows/os_windows.cpp:3007
WARNING: _notification: World already has an environment (Another WorldEnvironment?), overriding.
At: scene/3d/world_environment.cpp:40