When you double-click a zip file you "see" what appears as a folder, but in reality it is just a temporary vision, to give you an idea of what files are in the the zip file.
You can not expect that you can use the contained files as if they were in a real folder.
Your action, clicking the .exe file, has told you that the other required support files also in the zip file are not in a real folder as well, thus the message that says "the associated files need to be extracted"
So, just when you open the zip file, and if you see something inside that requires more than just one of the contained files to work correctly, just create a real folder and place all the required files (from the zip "folder") into that real folder. Then do your thing, that is, in this case, clicking on the .exe will find those support files and work properly.
You clicking the [OK] button was just your confirmation of the message, not the 'OK' to extract all the files to some place.
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The reason I am being sort of cryptic and NOT being DEFINITIVE in saying that you must always extract all the contained files to do whatever it is that those files are for, is that:
1) a zipped collection of document files do not necessarily require any of the other files to properly read any one of the document.
2) some setup.exe files zipped with other files may not require those other files to properly install the item you have zipped (the setup file could be already a full package). Those other files may not be needed for installing.