Okay, try this;
Download the Helga: Euphorium's Song zip and unpack it to some folder, not under program files. This folder will be called "Main folder" from now and it has "Game.exe" which you run to play the game.
Make sure that this location is whitelisted in your virus protection.
Next, download the DLC and put the .exe into another folder, not the main folder. Also make sure it's not under program files.
Make sure that this location is also whitelisted in your virus protection.
Run the DLC.exe as an admin
Press Start, then when it says to choose the following directory, point it towards the main folder and press next.
It will take some time to load don't close it, even if it seems to be frozen! Soon, you'll see this message
Press Start and it'll begin the process.