The download is in the form of a .zip. You need to extract all the files into a different folder before running it. Generally, there should be an option to do so by right-clicking the file.
Thanks for reporting.
Looks like bug was introduced here: https://github.com/kwsch/PKHeX/commit/d2ebb6340e883e85035f4e32cacbe8cd4d9f5e66#diff-70545d54c22c3269370e37c00f9e77d4R423
Related GitHub issue: https://github.com/kwsch/PKHeX/issues/1249
@Kaphotics
Edit: Made a pull request which I *think* fixes the issue: https://github.com/kwsch/PKHeX/pull/1623
Could replicate the issue. The commit for upgrading the build appears to have broke Gen 4 MG data: https://github.com/kwsch/PKHeX/commit/e4b48b27121649390c02cfe936e522137005641e
Needs @Kaphotics' fix.
Edit with more info: Looks like the file was mistakenly overwritten with a 0 byte file.
Time to learn how to PKHeX. No idea how far you are, if your 3DS has CFW, if you can extract your save file, etc etc.
Get CFW
Dump save file
Open with PKHeX (PKHaX)
Make changes and save
Inject back into 3DS
You'll need to create and inject this locally, it won't be tradable.
Put this pkhax.bat in the same folder as your PKHeX .exe and run it, which should bring you to illegal mode. You can set the ability to Wonder Guard then.
No idea what you did, but the Kangaskhan you have now does not follow jasenyoface's setup. As mentioned, your Origin Game is Sun. jasenyoface's was Red.