There is a small issue when running the downloader, the progress bar does not function, however if you watch the top of the window the percentage will update accordingly.
Sometimes when starting the application, it will just not start. You may have to click it several times, it will run eventually.
You may have to manually install the program by going to a WinXP bottle, and using the 'Add/Remove Programs' under Control Panel of the bottle. Once you click the 'Launch selected item' button, click the install button and point to the .exe you just downloaded.