Make sure that you first double-click the run-me-first file and then double click the EXE. The batch file is supposed only to pop up for a second, the actual package is the .exe... A corrupted package could result in what you described, but most of the time the Nullsoft install system (which planeshift uses for its windows packages) reports that the installer is corrupt and you can attempt to force install by adding a command-line switch (don\'t do that).
josePhoenix
PS:: The new run me first md5sums each part to make sure it isn\'t corrupt... if the installer does, at one point, say it\'s corrupt, use that to pinpoint the cause (i.e. which part you need to download again)