itch.io

Windows will show this message because the game is very niche (new indie title), and so this exe file is mostly unknown to Windows Defender.
You can hit the "More Info" shown there and click "run anyway" and the game will run.
Only do this with files you trust though

It’s not because of the game it’s because of windows defender. You are doing everything right unzipping it and you are indeed clicking on what you should click to launch the game. I think you need to tell windows defender that the game is safe because it is and indie title and it might consider it dangerous. Archxn (the comment before me) already wrote how to do that. Hopefully you can finally play it now!