I've seen someone said you haven't unzip it, but if that's true, black screen wouldn't happen.
I guess you meant when you started the game, mouse arrow changed to the arrow of this game. According to this situation,i concluded maybe it's because of these possible reasons:
1.You need to update your Graphic Driver
2.Try DirectX tool to fix the issues of DirectX
3.set up some Visual C++ Redistributable Packages,such as VC 2010/2012 and more.
4.try to update your system.
All of those ideas are based on Windows operating system.