Open "Unsanctioned.7z" with 7-zip or WinRAR and extract the folder anywhere on your computer. Inside the folder you should find the game executable called "Unsanctioned.exe".
Hope this helps, and I hope you're able to play the game and have fun.
There are a few possible reasons, but the most likely one is that your browser or anti-virus is blocking the download. I had this happen to me before, and can't quite remember what I did, but have a look in settings on your browser and anti-virus. Otherwise, check you have enough space in you main drive (download folder), and if all else fails, turn your computer off and on again