I can recommend you to check the following:
- Did you allow the file to be downloaded? It seems that some web browsers are blocking it by default.
- Do you have enough free space on your hard drive?
- Do you have an up-to-date program to extract the ZIP files?
- Try to extract the NM Inspector ZIP files on another device, to see if it works there.
- Try to contact your PC's admin to confirm that you are allowed to install new software.
- Contact the itch.io customer support, so they can assist you.