So let's review a few things:
- The file is named itchSetup.exe and weights around 60MB?
- When double-clicking it, you see an "itch" splashscreen for a few seconds?
- Are you running any anti-virus software?
- Can you look in your tray icon area if there's the itch logo? (a white controller slightly slanted)
Do you see any error messages when it "fails" ?