There is no special installation procedure, you just unzip the game and it’s good to go. However, sounds like you’re having a problem with virtualization, something many newer versions of Windows does for security reasons where it prevents applications from changing the contents of what’s on the drive by creating a virtual copy instead, but this virtual copy goes away when you close the app. Files that don’t come from a trusted installer don’t get good credentials by default when Windows is set to be that secure. But here’s a few things you can do:
First off, rather than just unzip the app direct to desktop, try unzipping it into a folder and placing that folder somewhere on one of your drives. Security-conscious copies of Windows really don’t like it when you play with apps in certain folders (like the desktop), those are considered higher security areas. Putting the Cataclysm folder in My Documents might be a good way to go about it, because that’s often considered a more mutable area by windows.
Second, try running Cataclysm in administrator mode. This may convince Windows to allow that application to actually change files in the folder it’s installed in, rather than create a memory virtual drive for it. Often, once you’ve done this a few times, Windows will get the idea that this is an app you want to allow to make permanent changes on your drives.
Third, if the above doesn’t work, you can try going into the properties of the folder and going to the security tab and making sure you have permissions to make changes to that folder.