What OS are you trying to run it on?
Unless you have a virus, the only way I can imagine this happening on Windows is if you've somehow managed to replace the executable with a link or shortcut to the folder. Take a look at the attributes of the game.exe you're trying to run. How large is it?
Or if you're on Linux, you can't just launch a windows executable. Either download the linux version or try WINE, or something like that - though you'll need a lot of luck getting a windows version of an RPGMaker game to run under Linux.
If you're on a mac, you're on your own. I don't have one of those, never have and probably never well.