help with JSGME

[avers]

hey guys I highlighted and extracted all files in to my sh4 game but in the post it said there would be a setup icon I don't see that and whenever I click on jsgme it keeps giving me the pop up " do you want this program to make changes to this computer" is that normal? anyway when I go inside my sh4 folder everything does look correct so I think I did it but again I don't see a setup application.