Not really from your side. The app is always coming from somewhere else, if you download it manually. The os knows, that it was downloaded. Especially, if you try to run it from the download folder. The os tries to protect you from running malicoius programs you downloaed from the internet.

Usually you zip the files ready to run, the zip gets downloaded and extracted to somewhere, preferalby a  non protected folder. Like a custom folder named games and within there a folder for the game. And not a protected folder like program files - you need admin rights to write there. 10 years ago, games often came with an installation setup routine. But this  is quite unusual nowadays for indie games. Most are "portable". You can run them from everywhere, but the save games are in your user folders. So no old school installation is needed, just unzip where you like. 

That your game folder is named windows windows is suspicious. Is this trying to run it within the zip? there is icon uncompress all above.

I advise to use the snip tool from windows to make screenshots. You can crop out the private information, like what games you have on desktop or your username .