Hey realgem63, welcome to BleepingComputer.
I do think that you have extracted the Hijackthis properly, but I think you are looking in the wrong location for the extracted file. I take it that you download the sfx Hijackthis extractor to your desktop, then ran the file. This is an automated extractor which will extract the Hijackthis.exe to the following location - C:\Program Files\HijackThis. You should be able to find the Hijackthis.exe in the above location, if not please let me know. The reason the file on your desktop keeps returning you to the extraction process is because the file you actually want is not placed directly on your desktop. The sfx extractor and the Hijackthis executable look different, you should be able to see that when you find the correct Hijackthis file.
If you still have problems finding the extracted file, try this.
Please click on start > run > and type: C:\Program Files\HijackThis\Hijackthis.exe
Now hit enter and hopefully
Hijackthis should open.
Then continue with the guide, and post the log.
I wish you the best of luck clearing up the PC.