If the game won't open, you need to run LAUNCHER.exe that's inside the folders lib>windows-i686 in A Little Lily Princess folder as administrator, if you don't run as admin, you'll get an error.
There seems to be a problem with this download, when you launch the exe the game doesn't play, it instead seems to load forever, when checking task manager there are a couple of launcher.exe programs that come up doing i don't know what, possibly trying to load the game. But there isn't any way to cancel their processes unless you restart computer.
I had the same problem, restart your computer and search for the file "LAUNCHER.exe" in the path \IGG-A.Little.Lily.Princess\lib\windows-i686. This should open the game
WindowsError: exception: access violation reading 0x00000000. Any ideas how to get around this problem?