Hmm, let's try to rule out the obvious problems.

Did you extract the contents of the zip file before running setup.exe?

If you're using Windows Vista/7, did you try to right-click setup.exe and "Run as administrator"?

It looks like this has a lot more than just a hex-editor, but I've been using Notepad++ with the hex-editor plugin. I suppose I will give this a shot since I've got in installed now.

Your issue was installing, not using, so how is it going now? Any problems with the actual operation of the program? You following a course or just doing your own exercises?