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Uh, that sounds odd. You are on Windows, right? Did you try re-downloading the installer? When the installer is finished, you should get a folder named Caliross with the files inside. You also need to download and install the RTP: https://s3.amazonaws.com/degica-downloads/RPGVXAce_RTP.zip

Also, some antiviruses might detect the RPG Maker installer as a virus, so make sure it didn't get deleted or something.