Are you able to update Windows at all? I believe the current version is 1903 for Windows 10 Home. I'm also feeling you don't have the latest version of XD which became available in the last few days.
I no longer have a share for review option, I have a Share tab and can choose between Design Review, Development, Presentation, User Testing and Custom. All of which appear to be online links, I don't believe we can Export a Prototype other than sending a link or giving someone the XD files you have on your computer.
One option you may have is to create a recording showing the actions. If you click on the Desktop Preview Play button does this also appear blank or can you test and record the prototype this way?
this should not be marked complete - enterprise users have an option to "export prototype" when their company blocks the use of sharing through cloud. however when this is completed, as AdaptiveUser noted, clicking the index.html file does nothing.