Since this is an indie executable from a ZIP file, your Windows Defender or antivirus may flag it as "Unknown." Always ensure you are downloading from the official developer page (such as Itch.io or Patreon) to avoid malware.
Right-click the folder and select "Extract All..." to a location of your choice. LustfulSin-0.1.1-win.zip
Ensure you have the full LustfulSin-0.1.1-win.zip file. Since this is an indie executable from a