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(Non) Windows owned folder
Windows does not like writing arbitrary files in arbitrary folders / directories. The Blue Hell tools usually do write things into the same folder as where the executable is, and when that happens to be a folder that is owned by windows things will not work.
The µsoft suggested alternatives are to either use the registry or to use a user specific folder. This is something that I do not want as it almost mandates writing 1) an installation / de-installation tool. Whereas in the setup that I prefer everything is in one single folder and a deinstallation is as simple as removing a folder.
So, to get things working, one must not install Blue Hell software into folders like 'Program files' or 'Desktop'. I suggest making a 'bin' folder in the root of one of your drives, make a sub-folder in that for the particular application, and then move the application files into that folder. This is what the installation tool that I wrote will suggest, but you can change that.
For the installation tool itself, windows will notice that the executable file was donloaded from the internet and that at the file was not code signed by a µsoft trusted party. Windows will complain about that - the nag screen that pops up can be ignored though, just click on 'more info' and allow the application to run. I could hide hide that a bit by zipping the executable, but one would then need to unzip it first.