So the GROVE folder is empty? It doesn't have any of the game files in it? That's... very perplexing if so.
I would recommend actually specifying a location for your download, or at the very least keeping your browser's download manager open so you can keep track of where exactly the game has been downloaded to.
If, for some reason, the game files don't download with the game itself or end up elsewhere then... something is very odd with your computer since this is the first time this error has come up. I would recommend either downloading the game via the itch.io launcher instead, or just using the search function on your computer to look for the files and where they're ending up. They should be SOMEWHERE.