The game is a Godot file, so everything is self-contained. It is a Windows-compatible file (not sure what you're using). Other possible issues may be caused by download interference of a firewall/antivirus. I downloaded it on multiple computers and seems fine, though I have to tell Windows that it is a safe file to download. Sometimes an anti-virus may mistakenly remove crucial files due to overprotectiveness.
Are there other details you can offer, such as the OS or version of Windows you use, etc?