Eh.. I'm really not sure since I'm definitely terrible with computers and all. x.x But, I had a similar problem when I was installing Grand Fantasia. Like you, after I closed the dialogue box, it closed it, but nothing popped out. So I suggest you to try the following:
1. Restart your computer and try again.
2. Be patient. The other install window opened after 5 minutes from the time I closed the dialogue box.
Oh, I do not suggest doing this. But.. I was spamming the install button over and over again, and it eventually worked. I don't think you should do this though...
Good luck. xD