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Check if you have the latest update for windows/mac/linux. Unless you have a really old version, like Windows 7, it should work. Try to uninstall and install it again. If it still doesn't work, here you have a guide on how to solve the issue regarding the missing file. It's pretty straight forward: either it teaches you how to download the file or how to repair the game. Hope it helps!

What do you mean by "app?" I think you only need an app like winrar or 7zip to unpack it? Try first of all things to right click "JoestarStruck.exe" in the folder and select "Run as administrator."

A zip file is basically the file or files your need, all in one package. It makes distribution easier. To unpack it, you need a special program, like 7Zip or Winrar. Both are free, though I recommend you use Winrar. It is waaaaay better and doesn't corrupt your files as much. (Don't worry about "having to pay a licence," no one does that, it's a meme at this point.)