They simply sit in a temporary folder until installation is complete and can't be activated from there. What errors are you getting if any? What operating system and service pack is this and if you had previous protection installed was it properly removed using both the Control Panel and their removal tool?
Run the MCPR cleanup tool to cleanup previous files and reboot (linked under Useful Links at the top of this page)
Run the PreInstall tool to prepare your machine and try again.
Technical Support can also help (linked under Useful Links) it's a free phone call or online chat.
Try saving the setup file to your desktop first perhaps?