I also tried installing paint.net and nothing happened too. I installed it from http://www.getpaint.net/download.html.. so I am confused. I check the file folder and it was in a temp folder, aren't those for when things are downloading (or for when things fail?), because nothing else popped up which means it should have finished..
I switched to a different account and this time nothing was in my account temp folder?? (Temp folder located here : C:\Users\[username]\AppData\Local\Temp)