Well, what happens exactly is, when I run its installer on XP, it shows its instance in the taskbar, then closes immediately. And once I go to Add or Remove Programs, Pegasus Mail v4.81 appears as installed there, and I can uninstall it from there as if it was installed, but there's no folder on Start Menu, no desktop shortcut or anything. There isn't even a Pegasus Mail folder in Program Files folder!
This was all under a XP SP3 VM btw, but I doubt there would be any difference if installed in real hardware.