Which exact app did you download?
Preferably go with “Plex for Windows” from the page linked above. If you want a more extensive “HTPC experience”, you can go for the newer Plex HTPC app (instead of the old Plex Media Player)
Do not download the super-outdated and discontinued “Plex for Windows” app from the Windows app store.
Edit: I just noticed that MS Store link is now only valid for the Xbox version (so that should not be causing an issue)
