You could try the to extract whole folder (have you extracted the game folder or just the .exe file?).
If it's not the case, it may be your antivirus stopping you from executing the game. You could try to set up the permissions in your antivirus so the game isn't treated as a virus.
Viewing post in Valentyne Stories Necromancy comments
It seems we found a problem similar of yours here: https://lemmasoft.renai.us/forums/viewtopic.php?f=8&t=26509#p324743
Try to redownload it, it may work.
I've ran into a similar issue with Sakura. In my case, the .exe was tripping up Malwarebytes' heuristic and got quarantined, hence it was reported 'missing' by the OS. (It also tripped up another antivirus by apparently "trying to access the registry". This makes me more concerned than Malwarebytes' heuristic, tbh.) Maybe something similar happened here?
You need to open your antivirus softwares and make an exception for the ValentyneStoriesNecromancy.exe file so it won't be quarantined and deleted by your antivirus. It happens quite often for new games since VSN (and a lot of other similar games) are still a "new program" for Windows, and isn't recognized yet as a "safe" program. Do not worry, there isn't any malware in the game !