Not really sure on your situation here. But if your Curtains is install properly. You just need to double click on the downloaded "xxx.CurtainsStyle" files and it will install itself into Curtains. And it should be located in here : C:\users\public\documents\stardock\curtains.
Need to know more on your system.
1) Windows version numbers. : Please use Winver.exe for full Windows version numbers.
2) Installed Antivirus/security software.
3) Did you install Curtains in its default directory? Did you change it and install it in a different directory?
Stardock Community Assistant