You might have errors when compiling (any errors in the command line black window)? It doesn't compile, doesn't make the game.nes, but launch the emulator and play the already create game.nes, by default, in the gameDataEngine folder.
Suggestion, unizipp nesmaker.zip in you Downloads folder or Documents or Desktop... deactivate your antivirus (or add a exception for the NESMaker folder). And in your project, check your "Project Settings > Emulator" settings.