Doesn't work for me either.
It tries to run a 16-bit version of DXSetup.exe and then Win 7 x64 ****s itself and the program doesn't even start. Tried updating DX manually but doesn't help. Need an x86 or x64 version of DXSetup to replace the one they have. They don't actually include the DX package, they include an installer and the .cab files for the updates.
Who runs 16-bit software anymore? lol