I've tried running various exe's with and without Dosbox/VDMS to see whether I can recreate your problem but I can't.
I can think of two possible reasons for your problem:
1) You haven't extracted the files from the zip folder you downloaded. This isn't a problem with WinXP because it's generally clever enough to know you need to extract the files but older operating systems are not so clever.
2) For some unknown reason the download is corrupt. You could try downloading it again!
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