It's POSSIBLE (but not very likely) that if you are using a very old program (it doesn't look like you are, but I figured I'd mention the possibility anyway) that your program is using resources. if you open the .app folder and poke around, if you see and .rsrc files you are using resources.
The problem with resources is that back in the olden days, mac files had two parts, or "forks" the data fork which is the normal, visible, part, and the resource fork which you couldn't normally see. No other system (That I know of) has a resource fork, so when you copy files with a resource fork to a PC, you just lose that part of the file, and everything breaks.
If you are just copying this to the PC as a waystation (andwhy else would you be doing this?) and you plan to copy it back to a mac, then, Kio's suggestion of zipping the .app folder is a good one, Mac's compress feature compresses the rsrc and data forks and the whole thing should be visible to the PC.