Click on the folder that says "Fur Quests" then find "Game.exe" in that file location and double click
Correct!
"Adobe reader could not open 'Fur Quest Windows Alpha 0.1.02.01.rar' because it is either not a supported file type or because the file is damaged"
Hmmm... Strange.Just downloaded it and tried it for ourselves without issue. Have you tried downloading it again or unpacking it with another program like winzip?
