From that picture, it looks like you used an older setup..
All you really need is 2 files in that folder (or any folder) to make winmx work (setup is not needed to be run)
WinMX.exe & oledlg.dll
the other needed files will be created after first run.. ( basic settings files )
Now it looks to me as if the winmxsetup.exe is being allowed to run fine... creates the folder in the right place etc etc..
but the main .exe is missing, this suggests to me maybe your anti virus software is deleting it...
try just exacting the winmx.exe from the link above to the desktop (or program folder as in picture you supplied above) , see if it dissapears.. ??
If it does, disable your AV and try again..
No pop up from your AV saying it's malware or virus ?? (maybe you can manually add a rule)