I emailed support and they said I should put it here too. The installer comes in a self-extracting archive which can be opened with programs like winrar. However on my setup (Win Vista x64) double clicking the PA_Setup.exe did nothing. It took me a while to realize why and then i just unzipped it manually and ran the exe inside for the installer. I suggest you warn people in case they have the same problem. Why is it in an archive in the first place? Besides half the file size (save 700 kb of bandwidth... who hoo!) seems necessary.
Necro. This is still an issue. Packing the .exe in an archive without the relevant archive extension causes needless program handling failures and user confusion. Please put this right.