It appears that when it is extracting. The file shows up, but when it finishes extracting, the file disappears.
I can't help you much with the current information you gave me.
But my guess would be that the file is corrupt. Have you tried re-downloading the game yet?
Or that there is not enough storage space and therefore it cannot be unpacked. To unpack the game, you need about 2.5 times the free storage space of the packed file.
Or you or the program may not have write permissions on the medium where the file is located. That means just move the file to the desktop and try again.