Sorry for the inconvenience.   I guess this might be caused by Windows Defender.  Had the same problem with my first game. Windows doesn`t trust Game Maker, Itch.io or anybody.  You might look if it is in quarantine. Also make sure to unzip the file before starting it.  If nothing helps you can try running the browser version https://gx.games/en/games/gvnext/first-cat-on-the-moon-starring-bobo-the-cat/   it doesn`t work as good as the .exe version but it should work.