The setup file is important. It should already have the correct extension on the file. By adding it you may have made RSII_setup.exe into RSII_setup.exe.exe which may or may not have some interesting effects.
One thing that I've always done is to go into the 'Folder Options' and ensure that all file extensions are shown. I know in Windows 7 you can hide extensions of known file types but for me perosnally it can mean you end ep adding a second extension to the file.
If after the install your folder does not look like the one in the install thread then something has gone wrong. When you run the installer you need to point it to the 'game folder' and not the 'data' folder. The 'game folder' is the one where the exe are.
So using the pictures from the install thread the 'game folder' is "C:\SKN Program Files\The Creative Assembly\RSII_Public". This is what it looks like prior to running the install:
Once the install has run then the folder looks like:
These files must be somewhere on your PC. Quite often people will install to the 'data' folder ("C:\SKN Program Files\The Creative Assembly\RSII_Public\data") and this is not where to point the installer to.
So, I'd first make sure that you have the correct set of files for the installer.