Just to share my experience - I run Windows 10, 64 bit, latest update.
I downloaded the server exe from Plex website.
Double clicking on it opened a box with Run button. Clicking on it - exactly nothing happened.
Very frustrating. I downloaded it again and again, but the same problem.
Luckily I found out that right clicking it and selecting run as administrator did the trick.
Exactly the same problem with the Player executive.
I must point out that my account is an admin account, and this has not happened to me yet, and I have installed lots of programs over the years.
Just in case it may help someone. cheers.