Moving Mac files over non Mac file systems (Windows in this case) always
results in lost resource forks and hence useless apps and games.
In this case, download the app in question again, it should be in a .sit, .zip or .img container.
Move the download to you emulated Mac´s HDD - not to the desktop, and inflate it there.
Obviously you need Stuffit Expander to inflate the most common container .sit.
For a start, use this file, 1. DL: http://macintoshgarden.org/apps/stuffit-expander-55
Unzip in Windows and add the resulting .toast file to the SheepShaver volumes tab.
You fill find the content of the .toast after next SheepShaver boot.
Install Stuffit Expander from the toast volume.
Now you may inflate most .sit files on your Mac hard disk.
If your DL is a zipped .img file, you may also add the unzipped .img to the volumes tab.
The resource fork of the .img is lost in this case too, but SheepShaver does not need it.