Digital Delivery: where?

[slowram]

I have finished getting the download from GamersGate and clicked Install and it launched Setup.exe and Setup.tmp and in my taskbar area I see Setup - King's Bounty... but it doesn't show any windows on my desktop and it doesn't seem to be installing anything let alone asking for anything. When I look at Task Manager it says Setup.tmp is taking up 25 cpu cycles and 9mb of memory it never changes form that and setup.exe takes 0 cpu cycles.
Am I supposed to see a dialog asking me where to install or for a key or something immediately after I click Install or is this supposed to take a half hour to run and it does it all in the background? I've let it run for about a half hour and keep trying to get it to install after that but same results each time. I closed download manager and reopened it (killed Setup.exe and Setup.tmp in task manager as well) and clicked download and it quickly changed to install as it was all downloaded click install same results.