Basicly the folder thats gonna contain the files when you extract them. So try remember where you extract the file and whitelist that folder location. To make it easier, you could make a new folder and place that folder under the whitelist, and extract your folder to that one, so you have the games you wanna have without problems of them being blocked. Whitelisting the file being blocked also works, but just doing the hole folder itself should be more then enough.
You might need to make a new extraction of the files when you have whitelisted it, just to make sure all files got properly extracted to their whitelisted area.