Please make sure you download the patch, not run it, i.e. you may have to use the option 'save as..." depending on your browser.
After it is finished downloading go to the location you saved it to and then run it.
If you click on the download link on top of that site it will give you a patch including winmx (install2.2.exe), the install2.2_nomx.exe is the patch only.
Let us know if it works now...