That's strange. I had the opposite problem using Chrome. When I clicked the "Launch" link, I got an error, and the only way I could get it to work was to click "Install". Then I tried in IE, and the Launch link didn't even appear there, only the "Install" button.
I don't know why installation packages insist on having a publisher name be part of the hierarchy. Perhaps they are worried that two different publishers could unknowingly create a product by the same name. But I don't know of an easy way to change that to "Scrolling Game Development Kit" without changing the publisher name to "Scrolling Game Development Kit". I guess the express version doesn't include a full-fledged installation package feature to allow fine control over installation (or I don't know how to control it), and they think that people using the express version are going to have real publisher names? Jeez.
Good thing this is an unofficial release. Sounds like you had quite a mess. I targeted ".NET Framework 4.0 Client Profile" which excludes some components like System.Design. But SGDK2 does not reference System.Design, so I don't know why you would have had an error related to that. Oh wait... for some reason, System.Design.dll was one of the implicitly added references to every project that SGDK2 compiles. I wonder why. It seems to work fine without it. I guess I'll just remove that.
Now I'm not quite clear what you're saying about downloading the sgdk2 files. Did it fail to download the template library component? Did it prompt you to download the help file and template library when it first ran? Did it download the Default Project template (which was a required component instead of part of the template library)?