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. 😛