After you ran the setup, did you go into the Programs -> Stardock -> MyColors folder and run the application from there?
It does not show up in the my colors program, nor is it anywhere in C:\Program Files\Stardock\MyColors
I want to buy some themes, but I wanted to install this one to see the ease of doing it, I guess I have my answer. I also have my answer on how good tech support is here.
So much for buying any my colors themes.