I've tried this a few times. Windows 10. Downloaded the 2MB file, double-clicked on it, and nothing happens. Same thing when I tried it a few months again. Put it in a command prompt and no output of an error.

I'm starting to worry I just launched something malicious.

The latter is normal on windows. Executables have a header flag which specifies they either use the terminal or not. If a terminal program is opened from outside a terminal, it opens a terminal window. If a nonterminal program is opened from a terminal, it instantly detaches.

After downloading, did you open its properties and "unblock" it?