So I'm assuming the game is downloaded and ready to play! Make a shortcut on your desktop (is easier for the next part). Right click and go to properties (I'm sure it's properties I'm on my phone right now). There should be an option under one of the tabs that allows you to choose a compatibility mode. Like: compatible with windows 8 or compatible with windows xP . It allows you to change it so the file will run thinking it's on that windows system. I hope that helps!
So, I see what the issue is. I download the game, unzip it, and when I open up the unzipped folder - or if I wait long enough without opening it anyways - the security on my laptop will say the Game Application is a malicious and delete it. I'm assuming the only work around for this is to remove or temporarily turn off the security on my computer - neither of which sounds very appealing to me for obvious reasons. It's weird, because it allows me to download ROMS, emulators, and even other ROM hacks, but this is the first time I've hit this issue.