If you're downloading from one of the delta links, you are getting the wrong thing. If you have a zip file, you got the wrong thing.
You need one of these:
https://marketing.jerseyjackpinball.com/ww/WillyWonka&theChocolateFactory-v02.01.iso (US)
https://downloadseu.jerseyjackpinball.com/ww/WillyWonka&theChocolateFactory-v02.01.iso (EU)
Then use rufus to put that on stick, then power ON the game with stick in usb cord.