A few troubleshooting ideas:
- If you haven't unzipped/extracted the game+other contents from the zip file, you'll need to do that. I'm realising now I didn't clarify that in install instructions and have added that accordingly.
- Make sure it's on an accessable part of your computer (so not in Program Files or something)
- Occasionally antiviruses may respond to ren'py games with false positives, so you might need to list the game as an exception.
If that doesn't help I'm not sure what the problem is. I've had one other person say that the latest Windows 10 update may have dislodged something but I don't have any proven advice to offer. Sorry! >_<