Ignore what /r/OhNoTheGround said. You don't need to shove fmod.dll in your program files and you don't need to have that file or the game on the C drive. I would guess the problem is that you didn't correctly unpack the .zip file in which the game is contained. If you open the .zip file like a folder then you're running the game (.exe file) in isolation, without access to the game files. The fmod.dll file is actually present in the directory you have open.
It looks like you're using the TempState download feature of Microsoft Edge, judging by the path directory. You should never save files you want to keep in there because they get deleted regularly. I have never used Edge but I would guess there's a way to turn that feature off. You could switch to some other browser.
Try downloading the game again. Then move the downloaded .zip file in which the game is packaged to your desktop. I recommend installing some archive tool because the one included with Windows is bad. See links to 7zip below. After you've moved the .zip file to your desktop and 7zip is installed then:
> 1. Right click the .zip file > 2. 7-Zip > 3. Extract to "SCP..." > 4. Open the new folder and start the .exe
Link to 7zip 64 bit download: Link
If that doesnt work then you're using a 32 bit version of Windows and need to download the 32 bit version: Link