Whenever you download a compressed archive (.zip / .7z), you gotta extract everything from the folder if there's more than one file in there.
I can't even begin to tell you how it works exactly, but if you try to open anything from within the compressed file, you'll only open what you clicked on, it won't be able to access any other files that are still compressed because of security concerns.
So for the lesson of the day, always extract all game files when trying to play.
Your ability to do that kinda depends on the game engine the VM is written in. Ren.Py, a flexible engine and by far the most popular that I've seen, can do that without many issues (although occasionally, depending on the developer, some textures may not load right). TyranoBuilder and many others require all of the resources from the folder to be accessible, so they all need to be extracted to the same directory. This is so that the decompiler (the program used to unpackage the game that's unique to each platform [pc, iOS, android, Mac, etc]) can find everything and put it in the right place in memory as the game launches.
The reason Ren.py is so popular is because it's really dead simple to use. It's super convenient to just write your story, import some art, and put out a fully functional VN. Other VN engines offer more flexibility, for instance, allowing branching pathways, tracking as many as thousands (renpy doesn't allow nearly as many) variables, and more options for creating sprite sets, but at the cost of complexity during creation.
