It doesn't need to be installed. You can do a few things to run it. Drag it into the Photoshop window. Double-click on it (if it's associated with photoshop). Or go through the menus, I guess like you did.
What version of Photoshop are you using? I think Shiu was working on an updated version. And I'm not sure which one you got.
I've always kept the version I got a year and a half ago and kept it in my dropbox. But I used Photoshop CS5 and have since switched to CS6 and still works for me.