Hi. I personally have had this issue, but there fortunately is a solution to this.

Open the file/game you bought (which I believe is a .zip), then find the steam_api.dll file. The reason you're having this problem is because when you extract the file, Windows automatically deletes the file, making the game not launchable. Copy the file and paste it in Downloads so you can retrieve it later. After that, extract the zip.

Go to the Windows taskbar and type in "windows security", and hit Enter. A little window will appear (which is Windows Security).  Click on "Virus and threat protection". Click on "Manage settings". After that, scroll down till you see the section titled "Exclusions", then press "Add or remove exclusions". You'll get a pop-up, but you can safely click "yes".  After that, you'll need to click on "Add an exclusion", then press "Folder". After that, select the UNZIPPED folder, then hit OK. 

Now, select the steam_api.dll you pasted into Downloads from earlier and paste it into the unzipped folder (at the same place with the game executable). That should pretty much be it (worked for me, anyway).

Do note that if you have not already, install Microsoft XNA from >> https://www.microsoft.com/en-us/download/details.aspx?id=20914 <<, because the game is built using that framework.

I hope this helped you!