I am on Windows 10 and it works great for me. I don't think there should be a problem to run it on Windows 11.
However, it looks like you are using version 1.5.2, while the highest version available is 1.2.5. The version of 1.5.2 appears to be a command-line version, not a Windows interface.
Uninstall/delete whatever you downloaded then...
This is the official download site:
https://mp3gain.sourceforge.net/download.php
Get the first one in the list (unless you don't already have Visual Basic, then get the third one).
As noted at the top of that page, you will also need AACGain (to fix M4A files).
Once installed, you just drag songs from iTunes directly onto the icon on your Desktop, or into the program window if it is already open. You can do Track Analysis if you're curious about how loud the original files are, or just click on Track Gain to automatically transform all of the files in the list.
turingtest2 suggests your files are in the cloud ... I don't know if MP3Gain will work on cloud files, but I would guess not. But the files will retain the changes so if you download them, transform them, then re-upload them, it should work.