If the embed Windows executable provided with the package doesn't work on your Windows system, then some DLL's 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 SP1 in your favorite search engine, you should found a link to the Microsoft website where you can download this program. It seems that the SP1 version is absolutely necessary.
I actually use Visual C++ 2005 Express to compile the version of the executables that I embed in the packages. There is a new version available of Visual C++, called 2008, thought it seems actually be a beta version. Probably, one day, the link on the Microsoft website will point to the 2008 version of vcredist_x86.exe, which would probably not work with the executables I provide. In this case, you have to search the 2005 version of the vcredist_x86.exe file.