If the embed Windows executable provided with the package doesn't work on your Windows system, then some DLL's, or other Windows stuff, are missing on your system. To install them, you should download and install a program called vcredist_x86.exe. If you search for vcredist_x86.exe 2008 with your favorite search engine, you should found a link to the Microsoft website where you can download this program.
If the executable still not work after this, the executable was probably build with Visual C++ 2005 (I actually use Visual C++ 2008), so you need another version of vcredist_x86.exe (both can coexist), that you will find by searching vcredist_x86.exe SP1 with your search engine.