That's extremely strange. I'm not sure what's going on here, but we'll run through it one more time.
1) Download the ZIP file from the game page.
2) Right click on the ZIP file then select "Extract All..."
3) After extracting it, open the extracted folder and click on and open the TheManFromTheWindow application, which is usually the third file in the folder by default.
As long as you're using Windows, it should work. It's not the game itself that's the problem, since I haven't heard of any other instances of this happening.
If it still doesn't work, I'm not sure what else to do.