Do you have a security program (ex: AV) installed that may be blocking the .exe file?
If so, double check it's quarantine or blocked setting to see if it may, and either unblock it, allow it, or remove it from the list only if you fully trust the .exe file.
Another item to check, is the game made for Windows 7? If not, then you may need to use compatibiliy mode
with the Windows version it was made for.