Unable to install Help files.

I have just installed GIMP 2.4.6 on my XP Pro machine.
I downloaded the documentation file gimp-help-2-2.4.0-setup.exe from
http://gimp-win.sourceforge.net/stable.html.  However when I try to
execute it Windows gives me the following error:
   "Unable to execute file in the temporary directory. Setup aborted.
    Error 2: The system cannot find the file specified."

I have already tried the following:
1.  Downloading the separate "part" files from the same web page -
same problem when I execute the setup.
2.  Copying gimp-help-2-2.4.0-setup.exe to the Program Files folder
that contains the GIMP executable.

Any ideas??

Geoff