What should I do if a setup.exe file from a Steam rip just opened CMD and nothing happened?

You should re-download the legit version of the game directly from Steam if that's an option for you. Running files from unverified sources like Steam rips can lead to potential issues, so it's always safer to stick with official downloads.

Try uploading the setup file to VirusTotal to check if there are any detected issues with it. It's a quick way to see if it might be infected with malware or something else suspicious.

First off, definitely run a Malwarebytes scan to check for any malware. It's a good precaution to take, especially since you ran a file from a Steam rip. Until you're sure your system is clean, avoid logging into any sensitive accounts. Also, you might want to consider posting your question on forums that focus specifically on gaming or setup issues since this community might not be the best fit for it.