If it's the first time you are opening NESmaker, I'd suggest to reinstall (unzip the NESmaker zip file), disable your antivirus, and try again.
Also make sure to unzip (uncompress) the NESmaker_4_5.zip file (right click, unzip or uncompress ...), it will create a NESmaker 4.15 folder, then you open the NESmaker.exe from that folder (not from the zip file itself).
If you had a project already created... and it used to work before... rename your NESmaker folder (to keep it as a backup)... and retry the resinstallation explained above.