Alright, so, I still don't know what's the issue and why I can't start the game when I extract it, but this is how I managed to open it.
Instead of extracting it, I right clicked on it, then expanded "open with" option, and clicked on "open with WinRAR archiver" (because I have WinRAR downloaded on my PC. Then it opened the files in that WinRAR window, and when I clicked on the app, it started the game this time.
I still have no idea why it doesn't work when I extract it. I tried again later and nope, it only works if I open it with WinRAR.