This is the most common point of failure. You need the root directory where Nekopara lives.
Pro Tip: In Steam, right-click NEKOPARA Vol. 1 > Manage > Browse Local Files. This opens the folder instantly.
Crucial: Copy the neko_patch_1.18.exe file directly into the NEKOPARA Vol. 1 folder (where the game's .exe file is located). Double-click the patch file.
Cause: You ran the patch from your Downloads folder, not the game directory.
Fix: Copy the .exe patch file into the NEKOPARA Vol. 1 folder. Run it from there.
There are two primary ways to obtain the patch. Nekopara Vol. 1 is unique because the developers eventually released an official "Free DLC" patch on Steam, making the process much easier than it is for other visual novels.