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
If you are looking to share this on a forum or community site, here is an informative post template: 🎮 Lustful Sin - Version 0.1.1 (Windows Release) Since this is an indie executable from a