I had problems with the install, it would just error out and stop. My work around was to install VWD from the "image" file download. Then you have to extract the files from the image by using some 3rd party software (there are a couple of links on the download webpage). And even then, I had to drill down to a setup file inside a folder. I think it was the "lxpvwd.exe" file.
It turns out that VWD will not work on our XP boxes unless Service Patch 2 is installed. However our network does not use SP2. When I tried to install SP2, it crashed my PC; ruined Windows XP and it had to be rebuilt. I now run VWD on a Win2k PC with no problems.
I don't know if this helps, but I needed to vent my frustrations too!
"I have not failed. I just found 10,000 ways that don't work." - Thomas Edison