Follow the install instructions and it will install just fine. There is no EXE in it but there is a DLL since it is not a standalone synth. It's designed to run as a VST in a DAW.
It has a learning curve since it is quite an amazing little piece of software. I have had it for quite some time.
Here is a song where I use it:
http://soundclick.com/share.cfm?id=11198785 I like it because it creates it's own parts with so many variables..... the drummers all have different personalities and drumming habits, there are a bunch of styles that you can apply to each of the drummers, and then there are the many kits that they can play.
Once JS creates the song, you can change and edit anything.... even down to the tuning or damping of a certain drum head in a kit. Everything is saveable as well.
As a non-drummer, I was so bored with the parts I was creating and JS was the answer to a prayer.... Set it up and press go. Waaa Laaa, a drum track !!!
If you decide to buy it, the Jamstix forums and support are top notch.