That's because JCS runs Jazz2.exe, and you're looking for Jazz2+.exe or some similar name.

Now, there's nothing stopping you from making a shortcut with the target C:\Games\Jazz2\Jazz2+.exe plusMenu.j2l (adjust for your own computer's file system as necessary). Or you could configure your computer so you never have to use Save+Run for other people's levels again. (Though later versions of Windows have made the process harder, so you may need to download a program specifically for editing file type associations.)