Make sure you have enough free space to install the game. The unpacked casino takes up around eight megabytes on your hard drive, and another eight MB is needed for the temporary setup files.
Make sure you are using Windows 95, 98, Me, 2000 or NT with Service Pack 3 or later.

There is a chance that the download was incomplete. The file should be around 5 Mb in size. If it is smaller than 4.8 Mb the file is probably missing data. Try downloading it again.