Installing the Windows software for App Inventor Setup has two parts:
We recommend that you perform the installation from an account that has administrator privileges. This will install the software for all users of the machine. If you do not have administrator privileges, the installation should still work, but App Inventor will be usable only from the account you used when you installed.
In most cases, App Inventor should be able to locate the Setup software on its own. But if it asks for the location of the software, the path to enter is C:\Program Files\Appinventor\commands-for-Appinventor. If you are using a 64-bit machine, you should type Program Files (x86) rather than Program Files. Also, if you did not install the software as an administrator, it was installed in your local directory rather than in C:\Program Files. You'll need to search for it to find the correct pathname.
Something not working right? Visit the troubleshooting page, or check the App Inventor User Forum for help.