Windows Installer does not work

I’ve been trying to install a couple different applications (PGP is one of them,) and, when I double-click the install executable, I receive a “Windows Installer” Window – shows all the options, then, near the bottom, it says “Consult the Windows ? Installer SDK for additional documentation on the command line syntax.” – I had a Version 3 installer and upgraded to V 4.5.6001.22159 – no difference – using Windows XP Pro SP2 – what am I missing??? HELP!!! Thanks!