yeah when I run setup, I get setup.exe and setup.tmp processes showing up so that seems to be normal. But a setup menu shows up on desktop.
You wouldn't happen to be able to test it on a secondary computer or laptop? I wouldn't know if the developer tools interfere or not.
But according to another thread on these forums today there was a gentleman who installed the gamersgate version just fine today so the gamersgate setup package should be fine.
Maybe try to email the developers as well while your waiting as maybe they may happen to know what programs may interfere with the game's installation. Nothing to lose at any rate.
Oh and the game seems really tough to find at local stores, but maybe your area is better in that regard. Here in my city in Canada the retail distribution of the game has been rather invisible.
Happy holidays

.