I managed to get it running renaming
setup_spindle_demo_1.1_(49379).exe.exe
into
setup_spindle_demo_1.1_(49379).exe
just get rid of the unnecessary .exe

Similar problem exists in the Linux version:
start.sh points towards Spindle_Demo_1.1.1_linux.pck
That file does exist, but that's not an executable, it's a Godot package file.

To fix this issue in the linux version, the start.sh must be edited.
On line 20 it says:
./"Spindle_Demo_1.1.1_linux.pck"
It must be changed to:
./Spindle_Demo_1.1.1_linux.x86_64

Hopefully, the developers would read this post and fix the issue in future releases.