I am having the same problem, the exe file doesn't seem to have an icon and when I click on it nothing happens. I was looking forward to playing this too :(
Make sure you extract all of the files. The .exe not having an icon is expected - an icon doesn't do anything, it's just cosmetic, and we don't apply one to the .exe because it trips up some people's anti-virus.
You can also try running the .jar, but you'll need to have java installed.
