I believe a simple *finish can also work as long as you’ve got the correct chapter order in the startup.txt file. I don’t know if you need to do that for when you send your story into CoG, but I don’t bother with it. Works fine.
I think this might be the solution (Copy/Pasta from the wiki):
If you are using Windows 7 (and possibly Vista), when you download
the file, right click on it and select properties. At the very bottom of
the properties window there will be a button that says Unblock. Select that button and press OK
before extracting. This will help prevent a possible error that can
result from those earlier versions of Windows “blocking” the files
because they originated from a different computer.