Are you on a Mac? If so, double-click the file to open the game, and then head on over to System Preferences > Security & Privacy and click the Allow button in the "Allow apps downloaded from:" section and the game should launch.
Hi! I am so sorry! There is a windows .zip file beneath the mac one, but I didn't label it windows (I accidentally labeled the first file both mac and windows). My fault! Please download the windows file - it should be probably labeled now. Sorry for the confusion and trouble!