I had the same exact problem that you are having; where during the install process the file would unzip everything and then ask me if I wanted to install .NET and paint.net., but after it finished unzipping everything the program closed out and all the files that it had unzipped disappeared. I even had the temp folder it created open and watched as all the files disappeared after the install program had finished unzipping.
My name is what happened next. After a cool-off period and contemplating ways of breaking my laptop (I am running Windows 8.1) I decided to try a fresh approach.
First I cleared the event logs on my computer:
Step 1: Windows key + R
Step 2: typed: eventvwr.msc
Step 3: Once the Event Viewer launches, double-click and expand Windows Logs.
Step 4: Here Right-click on Application option and choose Clear Log.
Step 5. Perform the same operation and clear the Security, Setup, and System log.
Afterwards I ran Optimize/defrag on my laptop followed by rebooting the laptop.
I then went to Control Panel -> Programs and Features -> clicked Turn Windows features on or off -> Checked every box that had to do with .NET Framework
I let the Windows do it's thing before proceeding to the next phase.
I then used the help guide provided by this website: http://forums.getpaint.net/index.php?/topic/692-install-update-or-uninstall-trouble-read-this/
Went to Step 5
Clicked on the link provided in Step 5 B
Downloaded Netframework Repair Tool
Installed and ran Netframework Repair Tool
It found several issues which it corrected.
I then did another reboot of the laptop.
I then double checked Windows Update to see if there were any new updates available and downloaded them and did another reboot.
After the laptop rebooted I installed paint.net again and this time it started working. It linked me to the .NET website to download the updated .NET 4.6.1. After which I reinstalled paint.net and it completed the install process and now I can use it on my laptop.
Hopefully this helps you out.
