The file you downloaded should have been a .ZIP file. If you double-click that .ZIP, Windows will show you the APRSIS32.EXE inside the .ZIP, but double-clicking that WILL NOT WORK! It will exhibit exactly the behavior that you describe.
You need to create a new folder and UNZIP the downloaded file into that folder then double-click the APRSIS32.EXE inside that folder.
If you don't know how to do that, find a higher-level Windows user and let them read this message. They'll know how to do it to get you up and running.
Lynn (D) - KJ4ERJ - Author of APRSISCE for Windows Mobile and Win32