To me it seems you're missing a file here with the context given. Delete that folder and download again, this time, when you run the exe record your screen so it's easier to see what might be the problem.
I am sorry, I posted that save years ago, I am not sure. Usually I would look for a save folder somewhere in what you downloaded. Some games the save folder does not appear until you have made a save ingame.
If you are certain it is not there, look for Users\AppData and go through everything until you find something that could be relevant to this game. Maybe something in Japanese, maybe black lilith, maybe the title of the game