I don't tend to d/l games, so I'm not very experienced in this.
This happened with me once... Extracted (unziped).. I couldn't find the .exe file, it just seemed to disappear
But I did eventually find it.. There was a folder containing the extracted files. Don't know why this happened.
Try doing a search for the file name and see what you come up with.
Sorry I can't be of more help.
Maybe a passer by might help