I've noticed that when you try and run the installer, sometimes it needs to restart the machine before installing the patch.
It will put "setup.dll" instead of "setup.exe" into "HKCU\Software\Microsoft\Windows\CurrentVersion\Run\"
When the machine restarts it will give an error saying that it doesn't know what application to use to run dll files. Just cancel this and run the patch again (either the downloaded file or the c:\temp\LRxxxxxx\setup.exe)
Not sure how to feed this back directly without raising a full CR ticket which is more work than I can spend as I can install the patch.