The official website of Protect ME! is discontinued. The URL leads to a generic search page and nothing more. I also tried to download the application to test it on my PC, but even that wasn't possible due to missing links to the product.
I can't really say what is the problem with the application since I can't even test it, but you should reinstall the program again and then open the files. Based on how the program works, the next time you double click a file that has been protected, a prompt should appear asking you for the password. If it doesn't work in standalone mode, the software needs to be installed for the EXE files to work as well.