You are just too quick thinking that nothing is happening: just wait a little bit more, to give the setup a chance to start.
It's a fairly big file, it takes some time to be uncompressed in the Windows temporary folder, and it would take even more if you have an antivirus, because it will probably try to scan every file while they are uncompressed.
Try to reboot Windows ( to ensure you don't have additional copies of the setup running ), run the setup and wait, it might just take some time, but it will eventually appear.
Also, since the Phantom already has an FSDT installer, there's no need to install the Stand-alone Addon Manager, which is only needed after you run an old Cloud9 installer.