This seems to be caused by security software preventing the WinZip Self-Extractor from running/creating output.
There are two workarounds.
If the person has file extensions turned on then you can change the extension from .EXE to .ZIP which will enable you to right click on the file and select ‘Extract All’ and follow the wizard. It will create a folder with Setup.exe in it which can be used to install the software. You may need to right click on Setup.exe , select properties and at the bottom of the properties windows select unblock (depending on what version of Windows they are using).
The .EXE file can also be opened in a third party unzip utility, such as WinZip, WinRar, or 7-Zip and extracted. Then you can run setup.