I've just redownloaded th game from your link and it seems to be fine when I select difficulty so it doesn't seem to be an issue with the archive itself.
As a guess, it might be so that path is too long for Danmakufu and can't handle it well. Try to put the game directly to C:\ (so it would be something like C:\MPP\th_dnh.exe) and see if it helps.