You have to put the files together in the same folder.
Does this mean you have it working now?
Yes, you have to unzip the zip into one folder. It will have a 'lib' sub-directory in it and a .exe file. Some people try to run the application by opening the .zip file and running it directly from there but that doesn't work. So I tried to make sure you were unzipping the files.
If you are still having trouble running the game and you know how to open a command line then I can show you other things you can check.