Yes, Metasane's description is the same as my experience. There's Windows' usual "This thing could be dangerous" message (Do you want the following program from an unknown publisher to make changes), I click "Yes", and then nothing happens.
I'll try switching it off and switching it on again. *shrugs*
Edit: tried that, didn't help. Any suggestions? The setup file is coming up as 129,140 K according to Windows, hopefully that's the expected size.