can not play games in msi windows!!!

I have a msi gaming laptop, intel CORE i5. windows11.
I purchased
-St. Yariman's Little Black Book ~Complete~
-Oral Lessons With Chii-chan
-SF
I downloaded them, extract zip, then double click .exe file but not running.
'' Search for app in the Store? You need to install an app for this task. Would you like to search for one in the Store? ''
Even though there is no app to open.

I am windows beginner.
I've read this topic https://www.fakku.net/support/technical/how-do-i-download-the-video-game-i-purchased

additional info)
I opened properties of .exe file, and I unlocked it.
'' Security: This file came from another computer and might be blocked to help protect this computer. ''
so I unlocked it.

Then now. it just a error message, red X icon.

How can I solve this?

Thank you.

I haven't played those particular games, but the problem I ran into a while back was Windows Defender deleting the executable. I made a VN folder on my drive and added an exclusion so it wouldn't scan that folder anymore (for one game, I had to add an exclusion to the folder I downloaded it to because it would actually jump into the zip and remove the .exe file). I now install all of my games into that folder

If that doesn't help, consider contacting support.

What is VN folder? I googled it and it shows me VN video editor.
and you make a drive, is this drive is USB hard drive or something?

Thank you for your reply, I think I only understand a part, exclusion.

I made a folder called "VN" on my hard drive, short for "Visual Novel", and made an exclusion to scanning that folder. You could make a folder and name it whatever you like and put it wherever is most convenient for you.

Thank you for your reply, but it did not work for me.
I unlocked the block app block on file from property.
and exclude by windows security →virus & threat protection but not work.
it just a pop a error message now.