I would try to re-download the zip file. What zip program do you use? Did you accidentally download the update instead? Are you sure you are clicking the correct .exe file? Some packages come with different exe's that are associated with other apps in the program and will not install the main program.
I downloaded a trial of Photoshop Elements 4 from Adobe's site. I downloaded the .zip file and then I extracted the .exe installation file. However, when I try to open it, the installer won't start! What can be causing the problem? I am using Windows XP.