You have to extract the file, then run it.
Viewing post in Shelter (Furry Visual Novel) comments
No need to swear, mate. If Lucky is right, he's probably saying that when you open the open the zip file you should first drag and drop the whole content somewhere else, like on your Desktop, THEN run the exe.
If that doesn't work then ask a friend for help because that's some kind of an issue on your computer's end.