It seems something went wrong when bundling the Windows / Linux archive. On Linux I'm getting the following output:
$ bash Henchman\ Story\ -\ Demo\ Version.sh
Could not import renpy.bootstrap. Please ensure you decompressed Ren'Py correctly, preserving the directory structure. Traceback (most recent call last): File "/home/gamer/HenchmanStory-NewDemo-pc/lib/linux-x86_64/../../Henchman Story - Demo Version.py", line 198, in <module> main() File "/home/gamer/HenchmanStory-NewDemo-pc/lib/linux-x86_64/../../Henchman Story - Demo Version.py", line 188, in main import renpy.bootstrap File "/home/gamer/HenchmanStory-NewDemo-pc/renpy/__init__.py", line 56, in <module> from renpy.compat import * File "/home/gamer/HenchmanStory-NewDemo-pc/renpy/compat/__init__.py", line 59, in <module> import future.standard_library ImportError: No module named future.standard_library