Sorry, it is a bit hard to tell the issue. From what you are saying, it sounds like you might have just opened the generated file through something like double-clicking on it or similar. If that's the case, that will not work unfortunately. The generated content needs to be accessed through a webserver, which is indeed not completely straightforward to setup. There are a variety of ways of doing so, but that's a bit beyond what I can help with (esp. for Windows / MacOS, as I'm familiar with neither) - you might have some luck with some tutorial on the internet.
Mapshot tool also do provide a way to serve that content. In theory, if you download mapshot-windows.exe from https://github.com/Palats/mapshot/releases/tag/0.0.14, you can double click on it and it should start serving the content. Content in that case would be available at the address (in a browser) http://localhost:8080 . I'm not 100% that it works well on Windows, as I don't have the occasion to test it often on that platform though.
