When I open up the install file, it starts downloading everything. Then it tells me it will install Paint.net and a Microsoft Framework version. It loads and when it reaches the end, it just closes. Paint.net isn't found anywhere on my computer.
Make sure to install all Windows Updates, especially for the big feature upgrades.
If you're on Windows 10, then Paint.NET now requires version 1607 ("Anniversary Update") or newer, as per https://blog.getpaint.net/2017/10/23/paint-net-4-0-20-and-net-4-7/