What hardware and which operating system are you running it on Peter?
EDIT: Ok I had a quick look at DSS and they recommend the following:
Installation: just unzip DeepSkyStacker.zip in any folder and run Setup.exe.
In case of installation problem (dll is missing...) check that you are using the latest Windows Installer which you can download here. This could be the case especially if your are running Windows XP without the SP2.
So give that a try if you're running XP.