Right - easy mistake.
While there are dos executables which are completely sealed, this is not the normal mode of distribution.
The original dos distribution contained a z-machine interpreter as a .com or .exe file, and the z-code in a .dat file (which modern OSs think is an mpeg file). Relabel this .z5 and it is fine with frotz. Or just
frotz IFgame.dat.
The
home of the underdogs has a great deal of interactive fiction, including the old infocom stuff and scans of the manuals and freebees. (Important since that was the form of copy protection used back then, and still now I guess.)