When you extract and download the game, it should extract as a folder with the contents:
THE DEVIL HAUNTS ME (windows)_DATA
UnityPlayer.dll
THE DEVIL HAUNTS ME (windows).exe
When you run the .exe, is the .exe still located in the folder?
That error you ran into will happen if the .exe is not in the same location as the UnityPlayer.dll and THE DEVIL HAUNTS ME (windows)_DATA folder.