Running ToA should be simple. There is no installation, you unpack and run.
1: Download the file
2: Unpack the file - Expand the file.
3: Change directory to where you unpacked the file.
3: Double click on the executable file. It's an .exe file in windows named TalesOfAndrogyny.exe
The game is now running. There is NO Installation necessary. It can sometimes take a bit of time for the game to load, especially if you are running an older 'puter.
An alternative way of running the game, since you installed Java, is to double click on the .jar file TalesOfAndrogyny.jar. That should run the game as well.
It IS possible you don't have sufficient swap space on your drive to load it. I have had problems running it from my C: Drive in my downloads folder before. I run all my games from a separate games drive with minimal file nesting. The reason for that could be the nesting of the folders.