Hey
I decided to try "right click -> explore" on it, and i found the actual setup.exe inside (I guess I was only trying the shortcut

). Anyways, I clicked on it and my problem is solved now, it installed.
PS - I also read through the 'Read Before Posting' (should have mentioned it) and I did everything up to step 10. Didn't know about the Power Supply or Motherboard though.