Tried logging out and downloading them anonymously just to make sure it's not just because I'm the file owner, and I could download and run both the EXE version and the ZIP version.
If you can't run the EXE properly, try downloading the ZIP version, it's a bit more compatible.
Yeah, Chrome can be a bit overprotective when it comes to downloading stuff, especially from indie sources. I personally use Firefox... but that's mostly because Chrome uses so much system resources it lags some of my other programs :P
